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  • Search: subject:"Model order reduction"
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Model order reduction 5 Option pricing theory 3 Optionspreistheorie 3 Dynamical systems 2 European options 2 Implied volatility 2 Krylov subspace 2 Mathematical programming 2 Mathematische Optimierung 2 Model-Order-Reduction 2 Numerical linear algebra 2 Stochastic process 2 Stochastischer Prozess 2 discrete empirical interpolation method 2 local volatility models 2 model order reduction 2 partial differential equations 2 proper orthogonal decomposition 2 Arnoldi Process 1 Asset price model 1 Black-Scholes model 1 Black-Scholes-Modell 1 Differential algebraic equations 1 EU countries 1 EU-Staaten 1 Estimation theory 1 Feedback control 1 Global Krylov subspace 1 Large dynamical systems 1 Linear dynamical systems 1 Lévy processes 1 Model-order reduction 1 Moment matching 1 Multiple points moment matching 1 Nonlinear systems 1 Option trading 1 Optionsgeschäft 1 Padé approximations 1 Parameter system 1 Polynomial chaos 1
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Undetermined 9
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Article 11
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Article in journal 4 Aufsatz in Zeitschrift 4
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Undetermined 7 English 4
Author
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Chen, Chun-Da 2 Alla, Alessandro 1 Augustin, Florian 1 Chu, Chia-Chi 1 Faßbender, Heike 1 Feng, Lihong 1 Feng, Wu-Shiung 1 Janardhanan, S. 1 Lai, Ming-Hong 1 Lin, Shao-Bin 1 Lin, Shao-bin 1 Nabi, M. 1 Nahvi, S.A. 1 Pacifico, Agnese 1 Pulch, Roland 1 Redmann, Martin 1 SACHS, EKKEHARD W. 1 SCHNEIDER, MARINA 1 Sachs, Ekkehard 1 Schneider, Marina 1 Soppa, Andreas 1 ter Maten, E. Jan W. 1
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Mathematics and Computers in Simulation (MATCOM) 5 Applied mathematical finance 1 Dynamic games and applications : DGA 1 Economic Modelling 1 Economic modelling 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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RePEc 7 ECONIS (ZBW) 4
Showing 1 - 10 of 11
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A POD approach to identify and control PDEs online through state dependent Riccati equations
Alla, Alessandro; Pacifico, Agnese - In: Dynamic games and applications : DGA 15 (2025) 2, pp. 481-502
Persistent link: https://www.econbiz.de/10015515225
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Solving high-dimensional optimal stopping problems using optimization based model order reduction
Redmann, Martin - In: Applied mathematical finance 29 (2022) 2, pp. 110-140
Persistent link: https://www.econbiz.de/10013554791
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Sensitivity analysis and model order reduction for random linear dynamical systems
Pulch, Roland; ter Maten, E. Jan W.; Augustin, Florian - In: Mathematics and Computers in Simulation (MATCOM) 111 (2015) C, pp. 80-95
sensitivities, we perform a model order reduction within the random space by changing unessential random variables back to constants …
Persistent link: https://www.econbiz.de/10011264175
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Reduced-order models for the implied variance under local volatility
Sachs, Ekkehard; Schneider, Marina - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-23
Persistent link: https://www.econbiz.de/10010498793
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REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY
SACHS, EKKEHARD W.; SCHNEIDER, MARINA - In: International Journal of Theoretical and Applied … 17 (2014) 08, pp. 1450053-1
model order reduction techniques to achieve computational efficiency. Our method of choice for the derivation of a reduced …
Persistent link: https://www.econbiz.de/10011106365
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Applying the Model Order Reduction method to a European option pricing model
Lin, Shao-bin; Chen, Chun-Da - In: Economic modelling 33 (2013), pp. 533-536
Persistent link: https://www.econbiz.de/10010193332
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Nonlinearity-aware sub-model combination in trajectory based methods for nonlinear Mor
Nahvi, S.A.; Nabi, M.; Janardhanan, S. - In: Mathematics and Computers in Simulation (MATCOM) 94 (2013) C, pp. 127-144
Trajectory based methods approximate nonlinear dynamical systems by superposition of dimensionally reduced linear systems. The linear systems are obtained by linearisations at multiple points along a state-trajectory. They are combined in a weighted sum and the combinations are switched...
Persistent link: https://www.econbiz.de/10010751866
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Applying the Model Order Reduction method to a European option pricing model
Lin, Shao-Bin; Chen, Chun-Da - In: Economic Modelling 33 (2013) C, pp. 533-536
This paper presents a European option pricing model by applying the Model-Order-Reduction (MOR) method. A European …-based Model-Order Reduction algorithm. In terms of computational cost, the MOR models are at least 2 orders of magnitude faster …
Persistent link: https://www.econbiz.de/10010737997
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Machine tool simulation based on reduced order FE models
Faßbender, Heike; Soppa, Andreas - In: Mathematics and Computers in Simulation (MATCOM) 82 (2011) 3, pp. 404-413
Numerical simulations of the behavior of machine tools are usually based on a finite element (FE) discretization of their mechanical structure. After linearization one obtains a second-order system of ordinary differential equations. In order to capture all necessary details the system that...
Persistent link: https://www.econbiz.de/10011050174
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Model-order reductions for MIMO systems using global Krylov subspace methods
Chu, Chia-Chi; Lai, Ming-Hong; Feng, Wu-Shiung - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 4, pp. 1153-1164
This paper presents theoretical foundations of global Krylov subspace methods for model order reductions. This method is an extension of the standard Krylov subspace method for multiple-inputs multiple-outputs (MIMO) systems. By employing the congruence transformation with global Krylov...
Persistent link: https://www.econbiz.de/10010748734
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