Related papers: Semiclassical CEV Option Pricing Model: an Analyti…
The phase space Koopman-van Hove (KvH) equation can be derived from the asymptotic semiclassical analysis of partial differential equations. Semiclassical theory yields the Hamilton-Jacobi equation for the complex phase factor and the…
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We study the diffusion equation with a position-dependent, power-law diffusion coefficient. The equation possesses the Riesz-Weyl fractional operator and includes a memory kernel. It is solved in the diffusion limit of small wave numbers.…
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In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the…
In this work, we develop variational formulations of Petrov-Galerkin type for one-dimensional fractional boundary value problems involving either a Riemann-Liouville or Caputo derivative of order $\alpha\in(3/2, 2)$ in the leading term and…
A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique…
This article introduces a simple weak Galerkin (WG) finite element method for solving convection-diffusion-reaction equation. The proposed method offers significant flexibility by supporting discontinuous approximating functions on general…
In the framework of a relativistic covariant Bethe-Salpeter model for the quark-antiquark system we present a renewed determination of the Cabbibo-Kobayashi-Maskawa matrix element $|V_{cb}|$. Complementing an earlier analysis applied to the…
In this paper, we introduce a data-driven, single-parameter Markov diffusion model for the VIX. The volatility factor evolves in $(-1,1)$ with a uniform invariant distribution ensured by Legendre polynomials, mapped to the empirical…
The aim of this paper is to construct (explicit) heat kernels for some hybrid evolution equations which arise in physics, conformal geometry and subelliptic PDEs. Hybrid means that the relevant partial differential operator appears in the…
We propose a novel efficient and robust Wavelet-based Edge Multiscale Finite Element Method (WEMsFEM) motivated by \cite{MR3980476,GL18} to solve the singularly perturbed convection-diffusion equations. The main idea is to first establish a…
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide…
The Wentzel-Kramers-Brillouin semiclassical method is formulated for quasiparticles with quartic-in-momentum dispersion which presents the simplest case of a soft energy-momentum dispersion. It is shown that matching wave functions in the…
The heat kernel in the setting of classical Fourier-Bessel expansions is defined by an oscillatory series which cannot be computed explicitly. We prove qualitatively sharp estimates of this kernel. Our method relies on establishing a…
The pricing of derivatives tied to baskets of assets demands a sophisticated framework that aligns with the available market information to capture the intricate non-linear dependency structure among the assets. We describe the dynamics of…
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the…
We report studies of semileptonic decays, B --> X_c l nu, based on a sample of 88 million BB events recorded with the BABAR detector. We have measured four moments of the electron energy distribution and four moments of the hadronic mass…
We construct default-free interest rate models in the spirit of the well-known Markov funcional models: our focus is analytic tractability of the models and generality of the approach. We work in the setting of state price densities and…