Search Results - subject:"finite difference method"

Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance

Naumann, Uwe; Du Toit, Jacques - In: The journal of computational finance 21 (2017/2018) 4, pp. 23-57

Persistent link: https://www.econbiz.de/10011848395

Finite difference techniques for arbitrage-free SABR

Le Floc'h, Fabien; Kennedy, Gary - In: The journal of computational finance 20 (2016/2017) 3, pp. 51-79

Persistent link: https://www.econbiz.de/10011689679

Sustainability of participation in collective pension schemes : an option pricing approach

Chen, Damiaan H. J.; Beetsma, Roel; Broeders, Dirk W. G. A. - In: Insurance / Mathematics & economics 74 (2017), pp. 182-196

Persistent link: https://www.econbiz.de/10011712469

A comparison study of ADI and LOD methods on option pricing models

Bagheri, Neda; Haghighi, Hassan Karnameh - In: Journal of mathematical finance 7 (2017) 2, pp. 275-290

Persistent link: https://www.econbiz.de/10011673885

The stability analysis of predictor-corrector method in solving American option pricing model

Kalantari, R.; Shahmorad, S.; Ahmadian, D. - In: Computational economics 47 (2016) 2, pp. 255-274

Persistent link: https://www.econbiz.de/10011712341

Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme

Shi, Guangping; Liu, Xiaoxing; Tang, Pan - In: Finance research letters 16 (2016), pp. 220-229

Persistent link: https://www.econbiz.de/10011656186

Finite difference modeling of heat distribution in multilayer soils with time-spatial hydrothermal properties

Nowamooz, Hossein; Nikoosokhan, Saeid; Lin, Jian; … - In: Renewable Energy 76 (2015) C, pp. 7-15

difference method while its thermal diffusivity varies with time and depth. First, the input parameters such as water content … difference method is used to model heat distributions in soil profile taking into account the initial and boundary conditions. A …In this study, the heat distribution throughout the profile of unsaturated multilayered soil is determined using finite …

Persistent link: https://www.econbiz.de/10011189956

Which Method for Pricing Weather Derivatives ?

Hamisultane, Hélène - HAL - 2008

Since the introduction of the first weather derivative in the United-States in 1997, a significant number of work was directed towards the pricing of this product and the modelling of the daily average temperature which characterizes most of the traded weather instruments. The weather...

Persistent link: https://www.econbiz.de/10008793721

ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS

Astic, Fabian; Tourin, Agnès - In: International Journal of Theoretical and Applied … 17 (2014) 08, pp. 1450055-1

We propose a framework for analyzing the credit risk of secured loans with maximum loan-to-value covenants. Here, we do not assume that the collateral can be liquidated as soon as the maximum loan-to-value is breached. Closed-form solutions for the expected loss are obtained for nonrevolving...

Persistent link: https://www.econbiz.de/10011106367

Finite difference thermal model of a latent heat storage system coupled with a photovoltaic device: Description and experimental validation

Lo Brano, Valerio; Ciulla, Giuseppina; Piacentino, Antonio - In: Renewable Energy 68 (2014) C, pp. 181-193

The use of photovoltaic (PV) systems has been showing a significant growth trend but for a more effective development of this technology it is essential to have higher energy conversion performances. Producers of PV often declare an higher efficiency respect to real conditions and this deviation...

Persistent link: https://www.econbiz.de/10010806645