Uncertainty quantification and Heston model

In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, has been applied throughout this work in order to compute the propagation of the uncertainty from the parameters of the model to the...

Efficient uncertainty quantification in computational fluid dynamics

When modeling physical systems, several sources of uncertainty are present. For example, variability in boundary conditions like free stream velocity or ambient pressure are always present. Furthermore, uncertainties in geometry arise from production tolerances, wear or unknown deformations under loading. Uncertainties in computational fluid...