A Fourier-based approach for valuing bonds with embedded options: an analysis of convolution- and cosine-based approximation methods using jump-diffusion models and extended with stochastic interest rates

Due to their attractive characteristics, convertible and callable bonds became a more important class of fixed-income products within the financial market. Therefore, the need for fair and accurate pricing of convertible and callable bonds increases. Where the convertible option can be considered as a right for the bondholder, the callable...

Time Integration Parallel in Time

In this paper the research behind the parallelization on the GPU of the time parallel time integration method Parareal. Firstly, the theory behind Parareal and its convergence theorems will be detailed. Then, two test models, the Lorenz system and Heat diffusion equation, will be introduced. Additionally, the derivation of the Forward Euler and...

Inexact distributed optimization schemes: A convergence analysis using monotone operator theory

Distributed optimization has been an <br/>extensively studied field for years. Recent developments in the area of sensors makes it possible to create networks consisting of a large number of nodes. The focus of this thesis will be optimizing distributed problems over a decentralized network. These distributed optimization schemes operate in an...