Related papers: Semiclassical CEV Option Pricing Model: an Analyti…
A unified viewpoint on the van Vleck and Herman-Kluk propagators in Hilbert space and their recently developed counterparts in Wigner representation is presented. It is shown that the numerical protocol for the Herman-Kluk propagator, which…
We study the long-time behavior of the Cesaro means of fundamental solutions for fractional evolution equations corresponding to random time changes in the Brownian motion and other Markov processes. We consider both stable subordinators…
We study the Heston model for pricing European options on stocks with stochastic volatility. This is a Black\--Scholes\--type equation whose spatial domain for the logarithmic stock price $x\in \RR$ and the variance $v\in (0,\infty)$ is the…
We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner--L\'{e}vy process yielding Meixner…
In this paper, we study option pricing under Vasicek Model by a Hamiltonian approach. Since the interest rate changes with time, we split the time to maturity into infinite steps, and the matrix element during each step could be calculated…
Using our recently proposed covariant algebraic approach the heat kernel for a Laplace-like differential operator in low-energy approximation is studied. Neglecting all the covariant derivatives of the gauge field strength (Yang-Mills…
We develop a virtual element method to solve a convective Brinkman-Forchheimer problem coupled with a heat equation. This coupled model may allow for thermal diffusion and viscosity as a function of temperature. Under standard…
We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump L\'evy process. This model can capture both mean reversion and…
Accurate prediction of electron temperature ($T_{\rm e}$) is critical for non-equilibrium plasma applications ranging from hypersonic flight to plasma-assisted combustion. We recently proposed a thermodynamically consistent model for…
We propose algorithms for solving convective-diffusion partial differential equations (PDEs), which model surfactant concentration and heat transport on evolving surfaces, based on intrinsic kernel-based meshless collocation methods. The…
The diffusion forecasting is a nonparametric approach that provably solves the Fokker-Planck PDE corresponding to It\^o diffusion without knowing the underlying equation. The key idea of this method is to approximate the solution of the…
A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by…
We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both $\beta$ parameters equal to $1$ and three correlation parameters, which extends the work of Bayer,Friz&Laurence [BFL14] for the…
A thorough MCMC analysis of any inflationary model against the current cosmological data is essential for assessing the validity of such a model as a viable inflationary model. Warm Inflation, producing both thermal and quantum…
Motivated by numerical modeling of ultrasound waves, we investigate robust conforming finite element discretizations of quasilinear and possibly nonlocal equations of Westervelt type. These wave equations involve either a strong dissipation…
For the discrete Laguerre operators we compute explicitly the corresponding heat kernels by expressing them with the help of Jacobi polynomials. This enables us to show that the heat semigroup is ultracontractive and to compute the…
We consider the heat kernel for higher-derivative and nonlocal operators in $d$-dimensional Euclidean space-time and its asymptotic behavior. As a building block for operators of such type, we consider the heat kernel of the minimal…
In this paper we derive semi-closed form prices of barrier (perhaps, time-dependent) options for the Hull-White model, ie., where the underlying follows a time-dependent OU process with a mean-reverting drift. Our approach is similar to…
The Heat Kernel Method is applied to the constituent quark model. We calculate the effect of thermal quark fluctuations on the meson action and the resulting quark condensate and pi pi-scattering amplitude at finite temperature. The quarks…
Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency financial data. We study the estimation of spot covariance using a kernel method for high-frequency data. In…