Displaying similar documents to “Fast deterministic pricing of options on Lévy driven assets”

Finite volume methods for elliptic PDE’s : a new approach

Panagiotis Chatzipantelidis (2002)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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We consider a new formulation for finite volume element methods, which is satisfied by known finite volume methods and it can be used to introduce new ones. This framework results by approximating the test function in the formulation of finite element method. We analyze piecewise linear conforming or nonconforming approximations on nonuniform triangulations and prove optimal order H 1 - norm and L 2 - norm error estimates.

Regularization of an unilateral obstacle problem

Ahmed Addou, E. Bekkaye Mermri, Jamal Zahi (2001)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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The aim of this article is to give a regularization method for an unilateral obstacle problem with obstacle ψ and second member f , which generalizes the one established by the authors of [4] in case of null obstacle and a second member is equal to constant 1 .

Multicomponent flow in a porous medium. Adsorption and Soret effect phenomena : local study and upscaling process

Serge Blancher, René Creff, Gérard Gagneux, Bruno Lacabanne, François Montel, David Trujillo (2001)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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Our aim here is to study the thermal diffusion phenomenon in a forced convective flow. A system of nonlinear parabolic equations governs the evolution of the mass fractions in multicomponent mixtures. Some existence and uniqueness results are given under suitable conditions on state functions. Then, we present a numerical scheme based on a “mixed finite element” method adapted to a finite volume scheme, of which we give numerical analysis. In a last part, we apply an homogenization technique...

Variational analysis for the Black and Scholes equation with stochastic volatility

Yves Achdou, Nicoletta Tchou (2002)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a...

A modal synthesis method for the elastoacoustic vibration problem

Alfredo Bermúdez, Luis Hervella-Nieto, Rodolfo Rodríguez (2002)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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A modal synthesis method to solve the elastoacoustic vibration problem is analyzed. A two-dimensional coupled fluid-solid system is considered; the solid is described by displacement variables, whereas displacement potential is used for the fluid. A particular modal synthesis leading to a symmetric eigenvalue problem is introduced. Finite element discretizations with lagrangian elements are considered for solving the uncoupled problems. Convergence for eigenvalues and eigenfunctions...

Stabilization methods in relaxed micromagnetism

Stefan A. Funken, Andreas Prohl (2005)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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The magnetization of a ferromagnetic sample solves a non-convex variational problem, where its relaxation by convexifying the energy density resolves relevant macroscopic information. The numerical analysis of the relaxed model has to deal with a constrained convex but degenerated, nonlocal energy functional in mixed formulation for magnetic potential u and magnetization 𝐦 . In [C. Carstensen and A. Prohl, Numer. Math. 90 (2001) 65–99], the conforming P 1 - ( P 0 ) d -element in d = 2 , 3 spatial dimensions...

Optimal closing of a pair trade with a model containing jumps

Stig Larsson, Carl Lindberg, Marcus Warfheimer (2013)

Applications of Mathematics

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A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely used investment strategy in the financial industry. Recently, Ekström, Lindberg, and Tysk studied the problem of optimally closing a pair trading strategy when the difference of the two assets is modelled by an Ornstein-Uhlenbeck process. In the present work the model is generalized to also include jumps. More precisely, we assume that the difference between the...