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A martingale control variate method for option pricing with stochastic volatility

Jean-Pierre Fouque, Chuan-Hsiang Han (2007)

ESAIM: Probability and Statistics

A generic control variate method is proposed to price options under stochastic volatility models by Monte Carlo simulations. This method provides a constructive way to select control variates which are martingales in order to reduce the variance of unbiased option price estimators. We apply a singular and regular perturbation analysis to characterize the variance reduced by martingale control variates. This variance analysis is done in the regime where time scales of associated driving volatility...

A Mathematical Model of Cancer Stem Cell Lineage Population Dynamics with Mutation Accumulation and Telomere Length Hierarchies

G. Kapitanov (2012)

Mathematical Modelling of Natural Phenomena

There is evidence that cancer develops when cells acquire a sequence of mutations that alter normal cell characteristics. This sequence determines a hierarchy among the cells, based on how many more mutations they need to accumulate in order to become cancerous. When cells divide, they exhibit telomere loss and differentiate, which defines another cell hierarchy, on top of which is the stem cell. We propose a mutation-generation model, which combines...

A mathematical model of inflammation during ischemic stroke

Cristiana Di Russo, Jean-Baptiste Lagaert, Guillemette Chapuisat, Marie-Aimée Dronne (2010)

ESAIM: Proceedings

In this article we propose a model to describe the inflammatory process which occurs during ischemic stroke. First, an introduction to some basic concepts about the biological phenomenon is given. Then, a detailed derivation of the model and the numerical scheme used are presented. Finally, the studies of the model robustness and sensitivity are showed and some numerical results on the time and space evolution of the process are presented and discussed....

A method for knowledge integration

Martin Janžura, Pavel Boček (1998)

Kybernetika

With the aid of Markov Chain Monte Carlo methods we can sample even from complex multi-dimensional distributions which cannot be exactly calculated. Thus, an application to the problem of knowledge integration (e. g. in expert systems) is straightforward.

A Metropolis adjusted Nosé-Hoover thermostat

Benedict Leimkuhler, Sebastian Reich (2009)

ESAIM: Mathematical Modelling and Numerical Analysis

We present a Monte Carlo technique for sampling from the canonical distribution in molecular dynamics. The method is built upon the Nosé-Hoover constant temperature formulation and the generalized hybrid Monte Carlo method. In contrast to standard hybrid Monte Carlo methods only the thermostat degree of freedom is stochastically resampled during a Monte Carlo step.

A microbiology application of the skew-Laplace distribution.

Olga Julià, Josep Vives-Rego (2008)

SORT

Flow cytometry scatter are ofen used in microbiology, and their measures are related to bacteria size and granularity. We present an application of the skew-Laplace distribution to flow cytometry data. The goodness of fit is evaluated both graphically and numerically. We also study skewness and kurtosis values to assess usefulness of the skew-Laplace distribution.

A Milstein-type scheme without Lévy area terms for SDEs driven by fractional brownian motion

A. Deya, A. Neuenkirch, S. Tindel (2012)

Annales de l'I.H.P. Probabilités et statistiques

In this article, we study the numerical approximation of stochastic differential equations driven by a multidimensional fractional Brownian motion (fBm) with Hurst parameter greater than 1/3. We introduce an implementable scheme for these equations, which is based on a second-order Taylor expansion, where the usual Lévy area terms are replaced by products of increments of the driving fBm. The convergence of our scheme is shown by means of a combination of rough paths techniques and error bounds...

A Model of Large-Scale Evolution of Complex Food Webs

C. Guill (2010)

Mathematical Modelling of Natural Phenomena

A simple model of biological evolution of community food webs is introduced. This model is based on the niche model, which is known to generate model food webs that are very similar to empirical food webs. The networks evolve by speciation and extinction. Co-extinctions due to the loss of all prey species are found to play a major role in determining the longterm shape of the food webs. The central aim is to design the model such that the characteristic...

A New Algorithm for Monte Carlo for American Options

Mallier, Roland, Alobaidi, Ghada (2003)

Serdica Mathematical Journal

2000 Mathematics Subject Classification: 91B28, 65C05.We consider the valuation of American options using Monte Carlo simulation, and propose a new technique which involves approximating the optimal exercise boundary. Our method involves splitting the boundary into a linear term and a Fourier series and using stochastic optimization in the form of a relaxation method to calculate the coefficients in the series. The cost function used is the expected value of the option using the the current estimate...

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