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  • Search: subject:"finite elements"
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Year of publication
Subject
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Finite elements 21 finite elements 11 Option pricing theory 7 Optionspreistheorie 7 Mathematical programming 4 Mathematische Optimierung 4 Derivat 3 Derivative 3 Domain decomposition 3 Dynamic programming 3 Dynamische Optimierung 3 Mixed finite elements 3 Optimal control 3 Search frictions 3 Stochastic process 3 Stochastischer Prozess 3 nonlinear dynamics 3 parameterized expectations 3 perturbation 3 projection 3 unemployment 3 Adaptive finite elements 2 American options 2 Arbeitslosigkeit 2 Arbeitsuche 2 Black-Scholes model 2 Black-Scholes-Modell 2 CDS spreads 2 Composites 2 Convergence analysis 2 Frictional unemployment 2 Friktionelle Arbeitslosigkeit 2 Implied volatility model 2 Inverse finite elements 2 Job search 2 Multigrid 2 Nichtlineare Dynamik 2 Nonlinear dynamics 2 Option trading 2 Optionsgeschäft 2
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Online availability
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Undetermined 39 Free 8 CC license 1
Type of publication
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Article 50 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Article 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Language
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Undetermined 38 English 13 Spanish 1
Author
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Ben-Abdellatif, Malek 3 Ben-Ameur, Hatem 3 Chérif, Rim 3 Petrosky-Nadeau, Nicolas 3 Zhang, Lu 3 Marcuzzi, F. 2 Pereira, F. 2 Rémillard, Bruno 2 Vejchodský, Tomáš 2 Vexler, Boris 2 Abreu, E. 1 Ariel, H. 1 Arregui, I. 1 Awruch, Armando M. 1 Balc, Gavril 1 Barroso, A. 1 Bastian, Peter 1 Baňas, Ľubomír 1 Benedix, Olaf 1 Beneyto, Pablo A. 1 Beranek, Nina 1 Bossavit, A. 1 Botean, Adrian 1 Bravo, Cedric Marcelo Augusto Ayala 1 Brekelmans, Ruud 1 Burda, Pavel 1 Calvo-Garrido, M. C. 1 Cardoso, Cláudio G.S. 1 Caro Barrera, José Rafael 1 Cañas, J. 1 Cecchi, M. Morandi 1 Cendán, J.J. 1 Chacón Rebollo, Tomás 1 Chen, Wen-Ting 1 Chen, Wen-ting 1 Cho, Hyung Hee 1 Clermont, Jean-Robert 1 Corlay, Sulvain 1 Cortínez, Víctor H. 1 Cunha, Maria Cristina 1
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Institution
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Tilburg University, Center for Economic Research 1
Published in...
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Mathematics and Computers in Simulation (MATCOM) 25 Computational Optimization and Applications 5 The journal of computational finance 4 Energy 2 Quantitative economics : QE ; journal of the Econometric Society 2 Renewable Energy 2 Discussion Paper / Tilburg University, Center for Economic Research 1 Energies 1 Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Journal of Asian Scientific Research 1 Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1 Les cahiers du GERAD 1 Quantitative Economics 1 Review of derivatives research 1 Risks : open access journal 1
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Source
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RePEc 38 ECONIS (ZBW) 12 EconStor 2
Showing 21 - 30 of 52
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Optimal error estimates for finite element discretization of elliptic optimal control problems with finitely many pointwise state constraints
Leykekhman, Dmitriy; Meidner, Dominik; Vexler, Boris - In: Computational Optimization and Applications 55 (2013) 3, pp. 769-802
In this paper we consider a model elliptic optimal control problem with finitely many state constraints in two and three dimensions. Such problems are challenging due to low regularity of the adjoint variable. For the discretization of the problem we consider continuous linear elements on...
Persistent link: https://www.econbiz.de/10010680664
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An inverse finite element method for pricing American options
Zhu, Song-ping; Chen, Wen-ting - In: Journal of economic dynamics & control 37 (2013) 1, pp. 231-250
Persistent link: https://www.econbiz.de/10009703598
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Complementarity based a posteriori error estimates and their properties
Vejchodský, Tomáš - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 10, pp. 2033-2046
The paper is devoted to complementary approaches in a posteriori error estimation for a diffusion-reaction model problem. These approaches provide sharp and guaranteed upper bounds for the energy norm of the error and they are independent from the way how the approximate solution is obtained. In...
Persistent link: https://www.econbiz.de/10011050985
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AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS
HEIDER, PASCAL - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250049-1
model we apply a finite elements discretization to the associated pricing partial differential equation. A robust …
Persistent link: https://www.econbiz.de/10011011262
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Wind-induced dynamic response of Heliostat
Gong, Bo; Li, Zhengnong; Wang, Zhifeng; Wang, Yingge - In: Renewable Energy 38 (2012) 1, pp. 206-213
Large-area, glass-metal heliostats have collection areas in the range of 100 m2–200 m2. The heliostats of Solar Tower power station, with high accuracy requirements during performance, are located at open terrain or suburban terrain and they are sensitive to gust. Therefore, wind load and...
Persistent link: https://www.econbiz.de/10011045851
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An implied volatility model determined by credit default swaps
Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
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Gradient Estimation Schemes for Noisy Functions
Brekelmans, Ruud; Den Hertog, Dick; Driessen, L.; … - Tilburg University, Center for Economic Research - 2003
In this paper we analyze different schemes for obtaining gradient estimates when the underlying function is noisy.Good gradient estimation is e.g. important for nonlinear programming solvers.As an error criterion we take the norm of the difference between the real and estimated gradients.This...
Persistent link: https://www.econbiz.de/10011091661
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Thermo-mechanical life prediction for material lifetime improvement of an internal cooling system in a combustion liner
Kim, Kyung Min; Jeon, Yun Heung; Yun, Namgeon; Lee, … - In: Energy 36 (2011) 2, pp. 942-949
This paper is concerned with heat transfer analysis and life prediction in the after shell section of a gas turbine combustion liner with internal cooling passage. The method in the present study is the process to design cooling systems which enhance the material lifetime as well as the cooling...
Persistent link: https://www.econbiz.de/10010808791
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An Unfitted Discontinuous Galerkin method for pore-scale simulations of solute transport
Bastian, Peter; Engwer, Christian; Fahlke, Jorrit; … - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 10, pp. 2051-2061
For the simulation of transport processes in porous media effective parameters for the physical processes on the target scale are required. Numerical upscaling, as well as multiscale approaches can help where experiments are not possible, or hard to conduct.
Persistent link: https://www.econbiz.de/10010870253
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The Best-Approximation Weighted-Residuals method for the steady convection-diffusion-reaction problem
Deolmi, G.; Marcuzzi, F.; Morandi Cecchi, M. - In: Mathematics and Computers in Simulation (MATCOM) 82 (2011) 1, pp. 144-162
In this paper we present an analytical, parameter-free, Petrov-Galerkin method that gives stable solutions of convection dominated boundary-value problems. We call it the Best Approximation Weighted Residuals (BAWR) method since it gives the best approximation in the norm induced by the...
Persistent link: https://www.econbiz.de/10010749166
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