Searched for: subject%3A%22collocation%22
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Heinen, Jan T. (author), Brockie, S.G. (author), ten Broek, Raymund (author), van der Kruk, E. (author), Moore, J.K. (author)
The ollie is the base aerial human–board maneuver, foundational to most modern skateboarding tricks. We formulate and solve an optimal control problem of a two-dimensional simplified human model and a rigid body skateboard with the objective of maximizing the height of the ollie. Our solution simultaneously discovers realistic human-applied...
journal article 2024
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Liu, S. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By employing an artificial neural network to learn these...
journal article 2022
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Sun, Junzi (author)
Trajectory optimization has been an active area of research for air transport studies for several decades. But almost all flight optimizers proposed in the literature remain close-sourced, which presents a major disadvantage for the advancement of scientific research. This optimization depends on aircraft performance models, emission models, and...
journal article 2022
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Novikov, A. (author), Voskov, D.V. (author), Khait, M. (author), Hajibeygi, H. (author), Jansen, J.D. (author)
We present a scalable collocated Finite Volume Method (FVM) to simulate induced seismicity as a result of pore pressure changes. A discrete system is obtained based on a fully-implicit fully-coupled description of flow, elastic deformation, and contact mechanics at fault surfaces on a flexible unstructured mesh. The cell-centered collocated...
journal article 2022
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Klees, R. (author), Seitz, K. (author), Slobbe, D.C. (author)
In this paper, we derive improved expressions for the harmonic correction to gravity and, for the first time, expressions for the harmonic correction to potential and height anomaly. They need to be applied at stations buried inside the masses to transform internal values into harmonically downward continued values, which are then input to...
journal article 2022
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Bakx, N.K.M. (author), Heiligers, M.J. (author)
Coronal Mass Ejections (CMEs), commonly referred to as solar storms, that are on an Earth-intersecting trajectory, may lead to the breakdown of power grid transformers, the malfunctioning of Earth-orbiting spacecraft, and disruptions in navigation and communication systems, among many other effects. The financial impact of a solar storm is...
conference paper 2021
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Le Floch, F.L.Y. (author)
This thesis studies advanced and accurate discretization schemes for relevant partial differential equations (PDEs) in finance. We start with techniques which may be particularly useful for the pricing of so-called vanilla financial options, European or American, and then move on to more complex models for the pricing of exotic options.<br/>
doctoral thesis 2020
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van der Stoep, A.W. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
We discuss a competitive alternative to stochastic local volatility models, namely the Collocating Volatility (CV) framework, introduced in [L. A. Grzelak (2019) The CLV framework-A fresh look at efficient pricing with smile, International Journal of Computer Mathematics 96 (11), 2209-2228]. The CV framework consists of two elements, a ...
journal article 2020
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Girrbach, Fabian (author), Kok, M. (author), Zandbergen, Raymond (author), Hageman, Tijmen (author), Diehl, Moritz (author)
Robust and accurate pose estimation of moving systems is a challenging task that is often tackled by combining information from different sensor subsystems in a multi-sensor fusion setup. To obtain robust and accurate estimates, it is crucial to respect the exact time of each measurement. Data fusion is additionally challenged when the...
conference paper 2020
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Le Floch, F.L.Y. (author), Oosterlee, C.W. (author)
This paper explains how to calibrate a stochastic collocation polynomial against market option prices directly. The method is first applied to the interpolation of short-maturity equity option prices in a fully arbitrage-free manner and then to the joint calibration of the constant maturity swap convexity adjustments with the interest rate...
journal article 2019
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Ungureanu, Oana Mihaela (author), Vlădeanu, Călin (author), Kooij, Robert (author)
This paper presents a novel approach for scheduling the workloads in a Kubernetes cluster, which are sometimes unequally distributed across the environment or deal with fluctuations in terms of resources utilization. Our proposal looks at a hybrid shared-state scheduling framework model that delegates most of the tasks to the distributed...
conference paper 2019
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Le Floch, F.L.Y. (author), Oosterlee, C.W. (author)
This paper explores the stochastic collocation technique, applied on a monotonic spline, as an arbitrage-free and model-free interpolation of implied volatilities. We explore various spline formulations, including B-spline representations. We explain how to calibrate the different representations against market option prices, detail how to...
journal article 2019
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Grzelak, L.A. (author), Witteveen, J.A.S. (author), Oosterlee, C.W. (author), Suárez-Taboada, M. (author)
In this article, we propose an efficient approach for inverting computationally expensive cumulative distribution functions. A collocation method, called the Stochastic Collocation Monte Carlo sampler (SCMC sampler), within a polynomial chaos expansion framework, allows us the generation of any number of Monte Carlo samples based on only a...
journal article 2018
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van den Oever, Tom (author), Heiligers, M.J. (author)
This paper presents the design of solar-sail transfer trajectories to solar-sail displaced libration point orbits in the Earth- Moon system. The existence of families of solar-sail displaced libration point orbits in the Earth-Moon system has recently been demonstrated. These families originate from complementing the dynamics of the classical...
conference paper 2018
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Suárez-Taboada, María (author), Witteveen, Jeroen A.S. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
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...
journal article 2018
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de Bruijn, F.J. (author)
doctoral thesis 2017
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van der Stoep, A.W. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
We present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid local volatility [Risk, 1994, 7, 18–20], [Int. J. Theor. Appl. Finance, 1998, 1, 61–110] models. In particular, we consider the stochastic local volatility model—see e.g. Lipton et al. [Quant. Finance, 2014, 14, 1899–1922], Piterbarg [Risk, 2007,...
journal article 2017
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Leitao Rodriguez, A. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
In this paper, we will present a multiple time step Monte Carlo simulation technique for pricing options under the Stochastic Alpha Beta Rho model. The proposed method is an extension of the one time step Monte Carlo method that we proposed in an accompanying paper Leitao et al. [Appl. Math. Comput. 2017, 293, 461–479], for pricing European...
journal article 2017
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Lashkarbolok, M. (author), Izadi, S. (author), Alemi, H. (author), Drost, S. (author)
Fitting an explicit curve over some discrete data extracted from a rheometer is the usual way of writing a rheological model for generalized Newtonian fluids. These explicit models may not match totally with the extracted data and may ignore some features of the rheological behavior of the fluids. In this paper, a cubicspline curve fitting is...
journal article 2015
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Mahapatra, P.S. (author)
For the past two decades, interferometric synthetic aperture radar (InSAR) has been used to monitor ground deformation with subcentimetric precision from space. But the applicability of this technique is limited in regions with a low density of naturally-occurring phase-coherent radar targets, e.g. vegetated nonurbanized areas. Third-party end...
doctoral thesis 2015
Searched for: subject%3A%22collocation%22
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