Related papers: The heat modulated infinite dimensional Heston mod…
This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime. We show that, under appropriate scaling, both the intensity processes and the rescaled Hawkes…
Heat conduction phenomena are studied theoretically using computer simulation. The systems are crystal with nonlinear interaction, and fluid of hard-core particles. Quasi-one-dimensional system of the size of $L_x\times L_y\times L_z(L_z\gg…
Our approach is part of the close link between continuous dissipative dynamical systems and optimization algorithms. We aim to solve convex minimization problems by means of stochastic inertial differential equations which are driven by the…
The Heston stochastic volatility process is a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process…
Parametric estimation of stochastic differential equations (SDEs) has been a subject of intense studies already for several decades. The Heston model for instance is driven by two coupled SDEs and is often used in financial mathematics for…
Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie-Kaya and Glasserman-Kim) suffer from computationally expensive modified Bessel function evaluations. We propose a new exact simulation scheme without the…
We study Euler-type discrete-time schemes for the rough Heston model, which can be described by a stochastic Volterra equation (with non-Lipschtiz coefficient functions), or by an equivalent integrated variance formulation. Using weak…
We consider a class of constant-coefficient partial differential operators on a finite-dimensional real vector space which exhibit a natural dilation invariance. Typically, these operators are anisotropic, allowing for different degrees in…
A new approximate Bayesian inferential framework is proposed that exploits multiple information sources -- daily spot returns, high-frequency spot data and option prices -- and enables fast calculation of probabilistic predictions of future…
Linear stationary reaction-convection-diffusion equations with Dirichlet boundary conditions are approximated using a simple finite difference method corresponding to central differences and the addition of a high-order stabilization term…
We prove existence and uniqueness of the solution of a stochastic shell--model. The equation is driven by an infinite dimensional fractional Brownian--motion with Hurst--parameter $H\in (1/2,1)$, and contains a non--trivial coefficient in…
We study numerical integration of functions depending on an infinite number of variables. We provide lower error bounds for general deterministic linear algorithms and provide matching upper error bounds with the help of suitable multilevel…
Finite dimensional solutions to a class of stochastic partial differential equations are obtained extending the differential constraints method for deterministic PDE to the stochastic framework. A geometrical reformulation of the stochastic…
We attempt to characterize irreversibility of a dynamical system from the existence of different forward and backward mathematical representations depending on the direction of the time arrow. Such different representations have been…
We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we study the convergence of European and American option prices.…
In this paper we consider a one-dimensional one-phase Stefan problem corresponding to the solidification process of a semi-infinite material with a convective boundary condition at the fixed face. The exact solution of this problem,…
Option contracts on two underlying assets within uncertain volatility models have their worst-case and best-case prices determined by a two-dimensional (2D) Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE) with…
A stochastic wavevector approach is formulated to accurately represent compressible turbulence subject to rapid deformations. This approach is inspired by the incompressible particle representation model of Kassinos (1995) and preserves the…
We consider a stochastic heat equation with nonlinear finite-rank space-coloured multiplicative noise that admits a unique nonnegative solution when given nonnegative initial data. Inspired by existing results for fully discrete finite…
We introduce a simple, efficient and accurate nonnegative preserving numerical scheme for simulating the square-root process. The novel idea is to simulate the integrated square-root process first instead of the square-root process itself.…