Determination of Relevant Spatial Scale in Reservoir Simulation

Under-sampling of the subsurface combined with scale differences in observations causes the estimation of geological parameters to be an ill-posed problem. As a result, only a subset of theoretically possible models can truly depict the reality. In reservoir modeling, we capture complexity and heterogeneity by representing the solution space...

Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method

Numerical integration methods such as the Fourier-based COS method can be used for effciently and accurately pricing financial products. The COS method can be applied to options on one underlying stock as well as on multiple underlying stocks. However, this method suffers from an exponential increase in computational complexity as the dimensions...