Search Results - subject:"finite elements"

Dynamic programming for designing and valuing two-dimensional financial derivatives

Ben-Abdellatif, Malek; Ben-Ameur, Hatem; Chérif, Rim; … - In: Risks : open access journal 12 (2024) 12, pp. 1-15

We use dynamic programming, finite elements, and parallel computing to design and evaluate two-dimensional financial …

Persistent link: https://www.econbiz.de/10015325218

A space–time variational method for optimal control problems: well-posedness, stability and numerical solution

Beranek, Nina; Reinhold, Martin Alexander; Urban, Karsten - In: Computational Optimization and Applications 86 (2023) 2, pp. 767-794

simultaneous space–time (tensorproduct) discretization of the optimality system in these Lebesgue–Bochner spaces. Using finite … elements of appropriate orders in space and time for trial and test spaces, this setting is known to be equivalent to a Crank …

Persistent link: https://www.econbiz.de/10015210607

Dynamic programming for valuing options embedded in corporate bonds

Ben-Abdellatif, Malek; Ben-Ameur, Hatem; Chérif, Rim; … - 2023

Persistent link: https://www.econbiz.de/10014443102

A two-factor structural model for valuing corporate securities

Ben-Abdellatif, Malek; Ben-Ameur, Hatem; Chérif, Rim; … - In: Review of derivatives research 27 (2024) 2, pp. 203-225

Persistent link: https://www.econbiz.de/10015133915

Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models

Gaß, Maximillian; Glau, Kathrin - In: The journal of computational finance 25 (2022) 4, pp. 79-105

Persistent link: https://www.econbiz.de/10014546290

Solving the Diamond-Mortensen-Pissarides model accurately

Petrosky-Nadeau, Nicolas; Zhang, Lu - In: Quantitative Economics 8 (2017) 2, pp. 611-650

An accurate global projection algorithm is critical for quantifying the basic moments of the Diamond-Mortensen-Pissarides model. Log linearization under- states the mean and volatility of unemployment, but overstates the volatility of labor market tightness and the magnitude of the...

Persistent link: https://www.econbiz.de/10011995499

Solving the Diamond-Mortensen-Pissarides model accurately

Petrosky-Nadeau, Nicolas; Zhang, Lu - In: Quantitative economics : QE ; journal of the … 8 (2017) 2, pp. 611-650

Persistent link: https://www.econbiz.de/10011801599

Aplicaciones de la física estadística en la valoración de activos financieros : de la ecuación de Fokker-Planck al modelo de Black-Scholes ; solución en diferencias finitas para una opción PUT europea

Caro Barrera, José Rafael - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 2, pp. 13-28

Persistent link: https://www.econbiz.de/10012062758

About The Study of Stresses for Desmopan Membrane by Finite Elements Method (FEM)

suciu, viorica; Botean, Adrian; Suciu, Mihaela; … - In: Journal of Asian Scientific Research 4 (2014) 4, pp. 207-213

This paper presents an original work about the study of stresses for a desmopan membrane by Finite Elements Method (FEM …

Persistent link: https://www.econbiz.de/10010766111

Parametric Study of Thermodynamics in the Mediterranean Courtyard as a Tool for the Design of Eco-Efficient Buildings

Rojas, Juan M.; Galán-Marín, Carmen; … - In: Energies 5 (2012) 7, pp. 2381-2403

Traditionally,<strong> </strong>people in the Mediterranean region knew that the temperatures in their courtyards were cooler in summer than outside temperature. This paper provides a quantitative study on the usefulness of Mediterranean courtyards as passive energy saving systems. This work is based on the...

Persistent link: https://www.econbiz.de/10011030763