Search Results - subject_exact:"Numerik"

Numerical methods to value an option including risk aversion with a constant relative risk aversion function

Pareja-Vasseur, Julian A.; Marin-Sanchez, Freddy H.; … - 2026

This study develops a comprehensive discrete numerical model for option valuation that explicitly incorporates risk preferences, which may deviate from risk neutrality. Unlike the traditional binomial tree models - strictly under the risk-neutral paradigm - our framework embeds a constant...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644841

Numerical methods for seakeeping problems

Moctar, Bettar Ould El; Schellin, Thomas E.; Söding, … - 2026 - Second edition

Introduction -- Fundamental governing equations -- Numerical methods to compute incompressible potential flows -- Water waves -- Strip methods -- Green function methods -- Linear Rankine source methods -- Nonlinear Rankine panel methods.-Viscous field methods -- Wave-induced Hull vibrations --...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638875

Numerical solution of uncertain partial differential equations and its applications

Yang, Lu; Liu, Yang - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015437556

A Numerical Study of Different Convenient Methods for Pricing Put Option

Akter, Afroza; Sutradhar, Sujon; Hossain, A. B. M. Shahadat - 2023

Solving option pricing problems numerical methods form an essential part. This paper discusses five numerical methods: Black-Scholes-Merton, Monte Carlo, Binomial, Trinomial, and Finite Difference. A comparison of these methods for both European and American put options shows a graphical...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014258799

A deep learning based numerical PDE method for option pricing

Wang, Xiang; Li, Jessica; Li, Jichun - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014327247

The art of temporal approximation : an investigation into numerical solutions to discrete- and continuous-time problems in economics

Eslami, Keyvan; Phelan, Thomas - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015590137

The art of temporal approximation : an investigation into numerical solutions to discrete & continuous-time problems in economics

Eslami, Keyvan; Phelan, Thomas M. - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014295510

Stability and convergence analysis of a numerical method for solving a ζ-Caputo time fractional Black-Scholes model via European options

Maddouri, Feten - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015590380

A method to pre-compile numerical integrals when solving stochastic dynamic problems

Arapakis, Karolos - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014228454

Numerical solution of passport option pricing problem with polynomial neural networks

Badireddi, Satyadev; Bansal, Saurabh; Natesan, Srinivasan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591428

An efficient numerical method for pricing American options and their Greeks under the two-asset Kou jump-diffusion model

Hout, Karel J. in 't - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655794

Essential mathematics for economics

Akira Toda, Alexis - 2025 - First edition

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015186806

Solving linear DSG models with Newton methods

Meyer-Gohde, Alexander; Saecker, Johanna - 2022

This paper presents and compares Newton-based methods from the applied mathematics literature for solving the matrix quadratic that underlies the recursive solution of linear DSGE models. The methods are compared using nearly 100 different models from the Macroeconomic Model Data Base (MMB) and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013368452

A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes

Kudryavtsev, Oleg - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014636822

Endogenous time preference and infrastructure-led growth with an unexpected numerical example

Hosoya, Kei - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014513047

A fourier interpolation method for numerical solution of FBSDEs : global convergence, stability, and higher order discretizations

Oyono Ngou, Polynice; Hyndman, Cody - 2022

The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs) was originally formulated using Euler time discretizations and a uniform space grid. In this paper, we utilize a tree-like spatial discretization that approximates the BSDE on the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013397739

Computational methods in finance

Hirsa, Ali - 2024 - Second edition

"Computational Methods in Finance is a book developed from the author's courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015179348

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Computational methods in finance

Hirsa, Ali - 2013

Book / Working Paper

Numerical Simulation of the Coalescence-Induced Polymeric Droplet Jumping on Superhydrophobic Surfaces

Bazesefidpar, Kazem; Brandt, Luca; Tammisola, Outi - 2022

Self-propelled jumping of two polymeric droplets on superhydrophobic surfaces is investigated by three-dimensional direct numerical simulations. Two identical droplets of a viscoelastic fluid slide, meet and coalesce on a surface with contact angle 180 degrees. The droplets are modelled by the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013299653

Numerical Prediction for Effective Thermal Conductivity of C/Sic Composites by Using a Multiscale Numerical Method

Guo, Jingyu; Li, Ze; Ding, Yuan; Lv, Si-Tao - 2022

To investigate the coupled conduction-radiation heat transfer in C/SiC composites, a multiscale numerical method is proposed in this paper. The multiscale method combines a three-scale physical model and a multiscale mathematical method for predicting the thermal conductivity of composite...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013302610

American options in time-dependent one-factor models : semi-analytic pricing, numerical methods, and ML support

Itkin, Andrey; Muravey, Dmitry - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015199836

Numerical Solution of Dynamic Quantile Models

Castro, Luciano I. de; Galvao, Antonio Fialho <Jr.>; … - 2022

This paper studies dynamic programming for quantile preference models, in which the agent maximizes the stream of the future τ-quantile utilities, for τ ∈ (0,1). We suggest numerical methods, based on value function iterations, for solving the quantile recursive dynamic programming, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014076963

An endogenous gridpoint method for distributional dynamics

Bayer, Christian; Luetticke, Ralph; Weiß, Maximilian; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014531604

Numerical simulations for study of optimal fiscal policies in a contemporary dynamic dual economy

Das, Sutapa; Murty, Sushama - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012940086

Pricing American option using a modified fractional black-scholes model under multi-state regime switching

Yousuf, M.; Khaliq, Abdul Q. M. - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014497295

Option Pricing With Regime Switching Correlation : A Numerical PDE Approach

Christara, Christina; Leung, Nat - 2021

Modelling correlation between financial quantities is important in the accurate pricing of financial derivatives. In this paper, we introduce some stochasticity in correlation, by considering a regime-switching correlation model, in which the transition rates between regimes are given. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013250551

Advertising or recommender systems? : a game-theoretic analysis of online retailer platforms' decision-making

Wang, Yan; Mei, Shue; Zhong, Weijun - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013466596

Numerical Methods in Computational Finance : A Partial Differential Equation (PDE/FDM) Approach

Duffy, Daniel J. - 2022

Cover -- Title Page -- Copyright -- Contents -- Preface -- Who Should Read this Book? -- PART A Mathematical Foundation for One‐Factor Problems -- CHAPTER 1 Real Analysis Foundations for this Book -- 1.1 Introduction and Objectives -- 1.2 Continuous Functions -- 1.2.1 Formal Definition of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013171962

Convergence Properties of the Likelihood of Computed Dynamic Models

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2021

This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the researcher can only evaluate an approximated likelihood associated with the approximated policy...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013228264

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Convergence Properties of the Likelihood of Computed Dynamic Models

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2014

Book / Working Paper

Economic Growth : Theory and Numerical Solution Methods

Novales, Alfonso; Fernández, Esther; Ruíz, Jesús - 2022 - 3rd ed. 2022.

Introduction -- The Neoclassical GrowthModel Under a Constant Savings Rate -- Optimal Growth: Continuous Time Analysis -- Optimal Growth: Discrete Time Analysis -- Numerical Solution Methods -- Endogenous Growth Models -- Additional Endogenous Growth Models -- Growth in Monetary Economies:...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012814667

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Economic Growth : Theory and Numerical Solution Methods

Novales, Alfonso - 2014 - 2nd ed. 2014

Edition: 2nd ed. 2014

Book / Working Paper

Economic Growth : Theory and Numerical Solution Methods

Novales, Alfonso - 2010

Book / Working Paper

Optimal Monetary Policy with State-Dependent Pricing

Nakov, Anton; Thomas, Carlos - 2021

We study optimal monetary policy in a flexible state-dependent pricing framework, in which monopolistic competition and stochastic menu costs are the only distortions. We show analytically that it is optimal to commit to zero inflation in the long run. Moreover, our numerical simulations...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013316159

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Optimal Monetary Policy with State-Dependent Pricing

Nakov, Anton - 2011

Book / Working Paper

Computation of business cycle models : a comparison of numerical methods

Heer, Burkhard; Maußner, Alfred - 2004

We compare the numerical methods that are most widely applied in the computation of the standard business cycle model with flexible labor. The numerical techniques imply economically insignificant differences with regard to business cycle summary statistics except for the volatility of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011449266

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Computation of Business Cycle Models. A Comparison of Numerical Methods

Heer, Burkhard; Maußner, Alfred - 2021

Book / Working Paper

Optimal Monetary Policy with State-Dependent Pricing

Nakov, Anton; Thomas, Carlos - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013316159

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Optimal Monetary Policy with State-Dependent Pricing

Nakov, Anton - 2011

Book / Working Paper

Rational vs irrational beliefs in a complex world

Böhl, Gregor; Hommes, Cars H. - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012704576

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Rational vs. irrational beliefs in a complex world

Böhl, Gregor; Hommes, Cars H. - 2021

Book / Working Paper

Computational methods for production-based asset pricing models with recursive utility

Aldrich, Eric Mark; Kung, Howard - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012437836

Optimal decision policy for real options under general Markovian dynamics

Cortazar, Gonzalo; Naranjo, Lorenzo; Sainz, Felipe - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012439274

Convex optimization based on global lower second-order models

Doikov, Nikita; Nesterov, Jurij Evgenʹevič - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012286409

Numerical Solution of Fractional Optimal Control Problems via Lagrange Polynomials

Sabermahani, Sedigheh; Ordokhani, Yadollah - 2020

A numerical method for solving a class of fractional optimal control problems (FOCPs) is presented. First, the FOCP is transformed into an equivalent variational problem, then using Lagrange polynomials, the problem is reduced to the problem of solving a system of algebraic equations. With the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014105854

A PDE method for estimation of implied volatility

Matić, Ivan; Radoičić, Radoš; Stefanica, Dan - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012194873

Deep-Learning Based Numerical BSDE Method for Barrier Options

Yu, Bing - 2019

As is known, an option price is a solution to a certain partial differential equation (PDE) with terminal conditions (payoff functions). There is a close association between the solution of PDE and the solution of a backward stochastic differential equation (BSDE). We can either solve the PDE to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012889242

Optimal grid selection for the numerical solution of dynamic stochastic optimization problems

Chipeniuk, Karsten O. - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012390486

Computing the distribution : adaptive finite volume methods for economic models with heterogeneous agents

Ahn, SeHyoun - 2019

Solving economic models with heterogenous agents requires computing aggregate dynamics consistent with individual behaviors. This paper introduces the ?nite volume method from the mathe-matics literature to enlarge the set of numerical methods available to compute dynamics in continuous time....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012115117

Numerical ross recovery for diffusion processes using a PDE approach

Sydow, Lina von; Walden, Johan - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012254095

Numerical stability of a hybrid method for pricing options

Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012153319

A Robust Numerical Method for Flow Driven Through a Pipe Using an Oscillating Pressure Gradient

Shishkin, Grigorii I. - 2018

The problem of periodic flow of an incompressible fluid through a pipe, which is driven by an oscillating pressure gradient (. a reciprocating piston), is investigated in the case of a large Reynolds number. This process is described by a singularly perturbed parabolic equation with a periodic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012918769

Numerical methods and optimization in finance

Gilli, Manfred; Maringer, Dietmar G.; Schumann, Enrico - 2019 - Second edition

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012386902

Numerical Analysis of Distributed Hopfield-Type Neural Network Equations

Wang, Quan-Fang - 2018

The numerical analysis for the systems governed by distributed models of Hopfield-type neural networks is studied. When the state space is of dimensional one, a new scheme of numerical solutions based on finite element method (FEM) is constructed, in which the Gauss-Legendre quadrature of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012924610

Markov-chain approximations for life-cycle models

Fella, Giulio; Gallipoli, Giovanni; Pan, Jutong - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012312358

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Markov-chain approximations for life-cycle models

Fella, Giulio; Gallipoli, Giovanni; Pan, Jutong - 2017

Book / Working Paper

Numerical Estimation of the Pickands’ Constant

Piterbarg, V.I. - 2018

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012925426

On numerical methods for spread options

Alfeus, Mesias; Overbeck, Ludger - 2018

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011778198

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On Numerical Methods for Spread Options

Alfeus, Mesias - 2018

Book / Working Paper

Numerical Solution of Jump-Diffusion SDEs

Giesecke, Kay - 2018

This paper formulates and analyzes a discretization scheme for a jump-diffusion process with general state-dependent drift, volatility, jump intensity, and jump size. The jump times of the process are constructed as time-changed Poisson arrival times, and the Euler method is used to generate the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012938410

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