Search Results - subject:"numerical techniques"

From simple growth to numerical simulations : a primer in dynamic programming

Femminis, Gianluca - 2016

" introduction to the numerical techniques used in dynamic programming, and can be skipped by the uninterested reader. Sections 7 to … of numerical techniques. Two Appendixes provide details about the Matlab routines used to deal with the examples, and the …

Persistent link: https://www.econbiz.de/10011776117

Optimal decisions for continuous time Markov decision processes over finite planning horizons

Buchholz, Peter; Dohndorf, Iryna; Scheftelowitsch, Dimitri - In: Computers & operations research : and their … 77 (2017), pp. 267-278

Persistent link: https://www.econbiz.de/10011630979

From simple Growth to Numerical Simulations: A Primer in Dynamic Programming

Femminis, Gianluca - 2016

Persistent link: https://www.econbiz.de/10011739624

Flexible-forward pricing through Leisen-Reimer trees : implementation and performance comparison with traditional Markov chains

Giribone, Pier Giuseppe; Ligato, Simone - In: International journal of financial engineering 3 (2016) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10011577108

Advancing the universality of quadrature methods to any underlying process for option pricing

Chen, Ding; Härkönen, Hannu J.; Newton, David P. - In: Journal of financial economics 114 (2014) 3, pp. 600-612

Persistent link: https://www.econbiz.de/10010532686

Valuing American options using fast recursive projections

Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - 2015

Persistent link: https://www.econbiz.de/10011853284

Методы теплогидравлической оптимизации и управления тепловыми сетями

ЛЕОНИДОВИЧ, МАЙКОВ ИГОРЬ; … - In: Управление большими … (2011) 3, pp. 205-220

Представлен метод решения одной из практически важных задач, связанных с эффективным теплоснабжением абонентов тепловых сетей, как в случае сильной...

Persistent link: https://www.econbiz.de/10011248411

From simple growth to numerical simulations: a primer in dynamic programming

Femminis, Gianluca - Dipartimenti e Istituti di Scienze Economiche, … - 2007

provides a "paper and pencil" introduction to the numerical techniques used in dynamic programming, and can be skipped by the … the discussion of numerical techniques. An Appendix provides details about the Matlab routines used to solve the examples. …

Persistent link: https://www.econbiz.de/10005784053

Advancing the universality of quadrature methods to any underlying process for option pricing

Chen, Ding; Härkönen, Hannu J.; Newton, David P. - In: Journal of Financial Economics 114 (2014) 3, pp. 600-612

Exceptional accuracy and speed for option pricing are available via quadrature (Andricopoulos, Widdicks, Duck, and Newton, 2003), extending into multiple dimensions with complex path-dependency and early exercise (Andricopoulos, Widdicks, Newton, and Duck, 2007). However, the exposition is...

Persistent link: https://www.econbiz.de/10011076291

Thermal conductivity in 3D NJL model under external magnetic field

Ferrer, E.; Gusynin, V.; Incera, V. - In: The European Physical Journal B - Condensed Matter and … 33 (2003) 4, pp. 397-411

The thermal conductivity of the (2+1)-dimensional NJL model in the presence of a constant magnetic field is calculated in the mean-field approximation and its different asymptotic regimes are analyzed. Taking into account the dynamical generation of a fermion mass due to the magnetic catalysis...

Persistent link: https://www.econbiz.de/10009282613