Related papers: Ab initio yield curve dynamics
We derive well-posed boundary conditions for the linearized Serre equations in one spatial dimension by utilizing the energy method. An energy stable and conservative discontinuous Galerkin spectral element method with simple upwind…
In this paper, the exponential B-spline Galerkin \ method is set up for getting the numerical solution of the Burgers' equation. Two numerical examples\ related to shock wave propogation and travelling wave are studied to illustrate the…
Borrowing and extending the method of images we introduce a theoretical framework that greatly simplifies analytical and numerical investigations of the escape rate in open dynamical systems. As an example, we explicitly derive the exact…
We devise a stabilized method to weakly enforce bound constraints in the discrete solution of advection-dominated diffusion problems. This method combines a nonlinear penalty formulation with a discontinuous Galerkin-based residual…
The literature on using yield curves to forecast recessions customarily uses 10-year--three-month Treasury yield spread without verification on the pair selection. This study investigates whether the predictive ability of spread can be…
Gravity-driven flows of liquid films are frequent in nature and industry, such as in landslides, lava flow, cooling of nuclear reactors, and coating processes. In many of these cases, the liquid is non-Newtonian and has particular…
A discontinuous Galerkin pressure correction numerical method for solving the incompressible Navier-Stokes equations is formulated and analyzed. We prove unconditional stability of the propose scheme. Convergence of the discrete velocity is…
An experimental system has been found recently, a coagulated CaCO3 suspension system, which shows very variable yield behaviour depending upon how it is tested and, specifically, at what rate it is sheared. At P\'eclet numbers Pe > 1 it…
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…
Seismic traveltime tomography represents a popular and useful tool for unravelling the structure of the subsurface across the scales. In this work we address the case where the forward model is represented by the eikonal equation and derive…
Option pricing formulas are derived from a non-Gaussian model of stock returns. Fluctuations are assumed to evolve according to a nonlinear Fokker-Planck equation which maximizes the Tsallis nonextensive entropy of index $q$. A generalized…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
A unified analytical pricing framework with involvement of the shot noise random process has been introduced and elaborated. Two exactly solvable new models have been developed. The first model has been designed to value options. It is…
An ongoing problem in the study of a classical many-body system is the characterization of its equilibrium behaviour by theory or numerical simulation. For purely repulsive particles, locating the melting line in the pressure-temperature…
In this paper, we consider numerical approximation of constrained gradient flows of planar closed curves, including the Willmore and the Helfrich flows. These equations have energy dissipation and the latter has conservation properties due…
We introduce a novel energy method that reinterprets ``curve shortening'' as ``tangent aligning''. This conceptual shift enables the variational study of infinite-length curves evolving by the curve shortening flow, as well as higher order…
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for…
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up and then decay after the occurrence of credit events. Using…
We investigate the stochastic evolution equations describing the motion of a Non-Newtonian fluids excited by multiplicative noise of L\'evy type. By making use of Galerkin approximation we can prove that the system has a global…
We resolve a longstanding open problem in the computational modeling of nonlinear plates by introducing a numerical method that exactly enforces the isometry constraint, namely, that the first fundamental form of the mid-surface coincides…