Found 67 Documents (Results 1–67)
Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk. (English) Zbl 07859342
Physics-informed convolutional transformer for predicting volatility surface. (English) Zbl 1537.91328
Nonlocality, nonlinearity, and time inconsistency in stochastic differential games. (English) Zbl 1536.91042
Reviewer: Alex V. Kolnogorov (Novgorod)
MSC:
91A15
A scheme for the game \(p\)-Laplacian and its application to image inpainting. (English) Zbl 07764025
A high-order and fast scheme with variable time steps for the time-fractional Black-Scholes equation. (English) Zbl 1538.65271
Fast numerical scheme for the time-fractional option pricing model with asset-price-dependent variable order. (English) Zbl 1528.91081
A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations. (English) Zbl 1517.65009
Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk. (English) Zbl 1538.91092
Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes. (English) Zbl 1506.65174
Reviewer: Piotr Biler (Wrocław)
Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model. (English) Zbl 1505.91351
Error analysis for physics-informed neural networks (PINNs) approximating Kolmogorov PDEs. (English) Zbl 1502.65170
Option valuation under the VG process by a DG method. (English) Zbl 07442410
Reviewer: Athanasios Yannacopoulos (Athína)
Modeling refugee movement based on a continuum mechanics phase-field approach of porous media. (English) Zbl 1487.35370
Optimal investment strategy under the CEV model with stochastic interest rate. (English) Zbl 07346351
Pricing European and American options under Heston model using discontinuous Galerkin finite elements. (English) Zbl 1524.91142
A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models. (English) Zbl 1448.65096
Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks. (English) Zbl 1469.60220
The discontinuous Galerkin method for discretely observed Asian options. (English) Zbl 1448.91324
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Volatility uncertainty quantification in a stochastic control problem applied to energy. (English) Zbl 1441.91074
Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework. (English) Zbl 1435.62375
Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations. (English) Zbl 1442.91116
A high order finite difference method for tempered fractional diffusion equations with applications to the CGMY model. (English) Zbl 1407.65106
DG framework for pricing European options under one-factor stochastic volatility models. (English) Zbl 1394.65099
Sparse grid high-order ADI scheme for option pricing in stochastic volatility models. (English) Zbl 1420.91505
Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 295-312 (2017).
Primal-dual active set method for American lookback put option pricing. (English) Zbl 1392.35315
Reviewer: Valery V. Karachik (Chelyabinsk)
A regression-based numerical scheme for backward stochastic differential equations. (English) Zbl 1417.65021
Opinion dynamics of social-similarity-based Hegselmann-Krause model. (English) Zbl 1380.91121
MSC:
91D30
Noisy Hegselmann-Krause systems: phase transition and the \(2R\)-conjecture. (English) Zbl 1393.82013
Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods. (English) Zbl 1361.90035
Multigrid with rough coefficients and multiresolution operator decomposition from hierarchical information games. (English) Zbl 1358.65071
A general stochastic model for studying time evolution of transition networks. (English) Zbl 1400.92562
Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance. (English) Zbl 1386.91166
The role of very low-Reynolds hydrodynamics on the transfer of information among active agents. (English) Zbl 1382.91061
Preconditioned iterative methods for fractional diffusion models in finance. (English) Zbl 1329.91141
High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions. (English) Zbl 1326.65105
Heterogeneity and subjectivity in binary-state opinion formation systems. (English) Zbl 1456.91079
MSC:
91D10
A semi-Lagrangian scheme for the game \(p\)-Laplacian via \(p\)-averaging. (English) Zbl 1320.65151
Reviewer: Vivek S. Borkar (Mumbai)
An analytic solution of a model of language competition with bilingualism and interlinguistic similarity. (English) Zbl 1286.91121
A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models. (English) Zbl 1254.91745
High-order compact finite difference scheme for option pricing in stochastic volatility models. (English) Zbl 1244.91100
How long can you enjoy Blackjack with 100 chips? (English) Zbl 1258.91045
MSC:
91A60
Numerical methods for backward Markov chain driven Black-Scholes option pricing. (English) Zbl 1209.91166
Noisy continuous-opinion dynamics. (English) Zbl 1459.91144
MSC:
91D30
First passage time for multivariate jump-diffusion processes in finance and other areas of applications. (English) Zbl 1224.91176
Reviewer: A. D. Borisenko (Kyïv)
Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory. (English) Zbl 1186.91197
Editorial: Tails and ties. (English) Zbl 1189.91013
Filter Results by …
Document Type
- Journal Articles (66)
- Collection Articles (1)
all
top 5
Author
- Düring, Bertram (4)
- Hozman, Jiří (4)
- Tichý, Tomáš (4)
- Ding, Deng (3)
- Jentzen, Arnulf (3)
- Beck, Christian (2)
- Carlini, Elisabetta (2)
- Chen, Peimin (2)
- E, Weinan (2)
- Glau, Kathrin (2)
- Guo, Xu (2)
- He, Yong (2)
- Li, Yutian (2)
- Miles, James J. (2)
- Oosterlee, Cornelis Willebrordus (2)
- Wang, Hong (2)
- Wunderlich, Linus (2)
- An, Xingyu (1)
- Anh, Vo V. (1)
- Au, Chi Yan (1)
- Bae, Hyeong-Ohk (1)
- Becker, Sebastian (1)
- Bernal, Francisco (1)
- Bowong, Samuel (1)
- Calzola, Elisa (1)
- Caridi, Ines (1)
- Chazelle, Bernard (1)
- Chen, Feng (1)
- Chen, Xi (1)
- Chen, Xu (1)
- Chen, Zhiping (1)
- Cheridito, Patrick (1)
- Cobb, Loren (1)
- Cui, Shumo (1)
- de la Rubia, F. Javier (1)
- De Rosis, Alessandro (1)
- De Ryck, Tim (1)
- Falcone, Maurizio (1)
- Finzi Vita, Stefano (1)
- Fotsin, Hilaire Bertrand (1)
- Fournié, Michel (1)
- Fung, Eric S. (1)
- Gai, Chunyi (1)
- García-Rodríguez, José Antonio (1)
- Giorgi, Tiziana (1)
- Gobet, Emmanuel (1)
- Grzelak, Lech A. (1)
- Guo, Long (1)
- Han, Zhangang (1)
- Hendricks, Christian (1)
- Hendy, Ahmed S. (1)
- Hernández-García, Emilio (1)
- Heuer, Christof (1)
- Hilliard, Zachary T. (1)
- Hong, Youngjoon (1)
- Huang, Zhongyi (1)
- Hutzenthaler, Martin (1)
- Jia, Jinhong (1)
- Jia, Yunjing (1)
- Kaniadakis, Giorgio (1)
- Karasözen, Bülent (1)
- Kim, Soohan (1)
- Korutcheva, Elka R. (1)
- Kozpınar, Sinem (1)
- Kurganov, Alexander (1)
- Lapin, Serguei (1)
- Lee, Muhyun (1)
- Lei, Qian (1)
- Lei, Siulong (1)
- Leitao, Álvaro (1)
- Li, Dongfang (1)
- Li, Guo (1)
- Li, Hongshan (1)
- Li, Lili (1)
- Li, Qianqian (1)
- Li, Qianxiao (1)
- Li, Wei (1)
- Li, Xiaofei (1)
- Ling, Leevan (1)
- Liu, Fawang (1)
- Liu, Guo (1)
- Liu, Yiqi (1)
- Luo, Zhongjie (1)
- Lyu, Pin (1)
- Ma, Jingtang (1)
- Macris, Nicolas (1)
- Mariani, Francesca (1)
- Marino, Raffaele (1)
- Medovikov, Alexei A. (1)
- Melnik, Roderick V. Nicholas (1)
- Meng, Qingjiang (1)
- Mira, Jorge (1)
- Mishra, Siddhartha (1)
- Nemiña, Francisco (1)
- Neufeld, Ariel David (1)
- Nguwi, Jiang Yu (1)
- Nieto Roig, Juan Jose (1)
- Otero-Espinar, Maria Victoria (1)
- Owhadi, Houman (1)
- Pacelli, Graziella (1)
- and 71 more Authors
all
top 5
Serial
- J. Comput. Appl. Math. (7)
- Appl. Numer. Math. (5)
- J. Stat. Phys. (3)
- Quant. Finance (3)
- East Asian J. Appl. Math. (3)
- Math. Methods Appl. Sci. (2)
- Physica A (2)
- Chaos Solitons Fractals (2)
- Appl. Math. Comput. (2)
- J. Sci. Comput. (2)
- Appl. Math., Praha (2)
- SIAM J. Sci. Comput. (2)
- J. Stat. Mech. Theory Exp. (2)
- Comput. Math. Appl. (1)
- J. Comput. Phys. (1)
- Math. Comput. Simul. (1)
- SIAM J. Numer. Anal. (1)
- Physica D (1)
- Optimization (1)
- Numer. Methods Partial Differ. Equations (1)
- Asia-Pac. J. Oper. Res. (1)
- Ann. Oper. Res. (1)
- Comput. Stat. (1)
- SIAM J. Appl. Math. (1)
- SIAM Rev. (1)
- J. Nonlinear Sci. (1)
- Adv. Comput. Math. (1)
- Complexity (1)
- Electron. J. Probab. (1)
- Math. Probl. Eng. (1)
- Math. Finance (1)
- Methodol. Comput. Appl. Probab. (1)
- Appl. Stoch. Models Bus. Ind. (1)
- Int. J. Mod. Phys. C (1)
- J. Appl. Math. Comput. (1)
- SIAM J. Appl. Dyn. Syst. (1)
- Eur. Phys. J. B, Condens. Matter Complex Syst. (1)
- Front. Math. China (1)
- Optim. Lett. (1)
- Netw. Heterog. Media (1)
- S\(\vec{\text{e}}\)MA J. (1)
- SN Partial Differ. Equ. Appl. (1)
all
top 3
Software
- DGM (7)
- Adam (6)
- Deep xVA solver (3)
- FreeFem++ (3)
- TensorFlow (3)
- DeepXDE (2)
- FPINNs (2)
- GitHub (2)
- AlexNet (1)
- BENCHOP (1)
- DLMF (1)
- DeepONet (1)
- ImageNet (1)
- Keras (1)
- L-BFGS (1)
- MATLAB-Python-inpainting-codes (1)
- Mathematica (1)
- PDE-Net (1)
- PyTorch (1)
- SERBA (1)
- SimEstFBM (1)
- Spinterp (1)
- XPINNs (1)
- pde2path (1)