Related papers: The heat modulated infinite dimensional Heston mod…
The Heston model is a popular stock price model with stochastic volatility that has found numerous applications in practice. In the present paper, we study the Riemannian distance function associated with the Heston model and obtain…
The relaxation in the calculus of variation motivates the numerical analysis of a class of degenerate convex minimization problems with non-strictly convex energy densities with some convexity control and two-sided $p$-growth. The…
The Hydrodynamics of Superfluid Turbulence (HST) describes the flows (or counterflows) of HeII in the presence of a chaotic set of vortex filaments, so called superfluid turbulence. The HST equations govern both a slow variation of the…
Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However, managing the risks of derivatives under…
In this work, we study advection-robust Hybrid High-Order discretizations of the Oseen equations. For a given integer $k\ge 0$, the discrete velocity unknowns are vector-valued polynomials of total degree $\le k$ on mesh elements and faces,…
The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present,…
We consider two steady-state heat conduction systems called, $S$ and $S_\alpha$, in a multidimensional bounded domain $D$ for the Poisson equation with source energy $g$. In one system, we impose mixed boundary conditions (temperature $b$…
Efficient sampling for the conditional time integrated variance process in the Heston stochastic volatility model is key to the simulation of the stock price based on its exact distribution. We construct a new series expansion for this…
This paper provides a methodology of verified computing for solutions to 1-dimensional advection equations with variable coefficients. The advection equation is typical partial differential equations (PDEs) of hyperbolic type. There are few…
We consider Heston's (1993) stochastic volatility model for valuation of European options to which (semi) closed form solutions are available and are given in terms of characteristic functions. We prove that the class of scale-parameter…
We present a numerical study of a model of pattern formation following a convective instability in a non-Boussinesq fluid. It is shown that many of the features observed in convection experiments conducted on $CO_{2}$ gas can be reproduced…
We present an ab initio stochastic method for calculating thermal properties of a trapped, 1D Bose-gas covering the whole range from weak to strong interactions. Discretization of the problem results in a Bose-Hubbard-like Hamiltonian,…
This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic differential equations, is solved through Monte Carlo…
We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models. The option pricing partial…
Regions of stellar and planetary interiors that are unstable according to the Schwarzschild criterion, but stable according to the Ledoux criterion, are subject to a form of oscillatory double-diffusive (ODD) convection often called…
A finite element based computational scheme is developed and employed to assess a duality based variational approach to the solution of the linear heat and transport PDE in one space dimension and time, and the nonlinear system of ODEs of…
We consider and compare four Hamiltonian formulations of thermostated mechanics, three of them kinetic, and the other one configurational. Though all four approaches ``work'' at equilibrium, their application to many-body nonequilibrium…
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s_+$ can be obtained by solving (numerically) a simple equation. This yields a leading order expansion for the implied volatility…
In this paper, the notion of singular backward stochastic Volterra integral equations (singular BSVIEs for short) in infinite dimensional space is introduced, and the corresponding well-posedness is carefully established. A class of…
The probability distribution (PD) of spin configurations in kinetic Ising models has been cast in the form of the canonical Boltzmann PD with a time-dependent effective Hamiltonian (EH). It has been argued that in systems with extensive…