Searched for: subject:"collocation"
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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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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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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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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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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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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
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Luo, Peiyao (author), Rodrigo, C (author), Gaspar, F. J. (author), Oosterlee, C.W. (author)
In this study, a nonlinear multigrid method is applied for solving the system of incompressible poroelasticity equations considering nonlinear hydraulic conductivity. For the unsteady problem, an additional artificial term is utilized to stabilize the solutions when the equations are discretized on collocated grids. We employ two nonlinear...
journal article 2015
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Govindarajan, N. (author), De Visser, C.C. (author), Krishnakumar, K. (author)
This paper presents a sparse collocation method for solving the time-dependent Hamilton–Jacobi–Bellman (HJB) equation associated with the continuous-time optimal control problem on a fixed, finite timehorizon with integral cost functional. Through casting the problem in a recursive framework using the value iteration procedure, the value...
journal article 2014
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Kazemi Kamyab, V. (author)
Time-accurate simulations of the thermal interaction of flows and structures, also referred to as conjugate heat transfer (CHT), can be computationally expensive. Furthermore, given the multi-physics nature of many engineering problems, resolution of other coupled phenomena, in addition to CHT, may also be of interest. This thesis aimed at...
doctoral thesis 2013
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Liu, S. (author)
doctoral thesis 2012
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Klees, R. (author), Prutkin, I. (author)
We propose a methodology for the combination of a gravimetric (quasi-) geoid with GNSS-levelling data in the presence of noise with correlations and/or spatially varying noise variances. It comprises two steps: first, a gravimetric (quasi-) geoid is computed using the available gravity data, which, in a second step, is improved using ellipsoidal...
journal article 2010
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Loeven, G.J.A. (author)
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...
doctoral thesis 2010
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Loeven, G.J.A. (author), Bijl, H. (author)
In this paper a Two-Step approach is presented for uncertainty quantification for expensive problems with multiple uncertain parameters. Both steps are performed using the Probabilistic Collocation method. The first step consists of a sensitivity analysis to identify the most important parameters of the problem. The sensitivity derivatives are...
journal article 2009
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Witteveen, J.A.S. (author), Bijl, H. (author)
An efficient uncertainty quantification method for unsteady problems is presented in order to achieve a constant accuracy in time for a constant number of samples. The approach is applied to the aeroelastic problems of a transonic airfoil flutter system and the AGARD 445.6 wing benchmark with uncertainties in the flow and the structure.
conference paper 2009
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Teunissen, P.J.G. (author)
The minimum mean squared error (MMSE) criterion is a popular criterion for devising best predictors. In case of linear predictors, it has the advantage that no further distributional assumptions need to be made, other then about the first- and second-order moments. In the spatial and Earth sciences, it is the best linear unbiased predictor (BLUP...
journal article 2007
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