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Chen, Ren Raw; Lee, Cheng Few; Lee, Han-Hsing
Empirical performance of the constant elasticity variance option pricing model. (English) Zbl 1452.91305
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903-1942 (2021).
MSC:  91G20 60G40 91G60 91G40
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\textit{R. R. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903--1942 (2021; Zbl 1452.91305)
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Lee, Han-Hsing; Chen, Ren-Raw; Lee, Cheng Few
Empirical studies of structural credit risk models and the application in default prediction: review and new evidence. (English) Zbl 1451.91214
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1845-1901 (2021).
MSC:  91G40
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\textit{H.-H. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1845--1901 (2021; Zbl 1451.91214)
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Bosov, A. V.
Application of conditional-optimal filter for synthesis of suboptimal control in the problem of optimizing the output of a nonlinear differential stochastic system. (English. Russian original) Zbl 07312177
Autom. Remote Control 81, No. 11, 1963-1973 (2020); translation from Avtom. Telemekh. 2020, No. 11, 32-45 (2020).
MSC:  93E11 93C10 60H10
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\textit{A. V. Bosov}, Autom. Remote Control 81, No. 11, 1963--1973 (2020; Zbl 07312177); translation from Avtom. Telemekh. 2020, No. 11, 32--45 (2020)
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Devonport, Alex; Khaled, Mahmoud; Arcak, Murat; Zamani, Majid
PIRK: scalable interval reachability analysis for high-dimensional nonlinear systems. (English) Zbl 07306428
Lahiri, Shuvendu Kumar (ed.) et al., Computer aided verification. 32nd international conference, CAV 2020, Los Angeles, CA, USA, July 21–24, 2020. Proceedings. Part I. Cham: Springer (ISBN 978-3-030-53287-1/pbk; 978-3-030-53288-8/ebook). Lecture Notes in Computer Science 12224, 556-568 (2020).
MSC:  68Q60
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\textit{A. Devonport} et al., Lect. Notes Comput. Sci. 12224, 556--568 (2020; Zbl 07306428)
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Wang, Song
The fitted finite volume and power penalty methods for option pricing. (English) Zbl 07283210
SpringerBriefs in Applied Sciences and Technology. Mathematical Methods. Singapore: Springer (ISBN 978-981-15-9557-8/pbk; 978-981-15-9558-5/ebook). viii, 94 p. (2020).
Reviewer: Nikolay Kyurkchiev (Plovdiv)
MSC:  91-02 91G60 65M08 91G20
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\textit{S. Wang}, The fitted finite volume and power penalty methods for option pricing. Singapore: Springer (2020; Zbl 07283210)
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Sipin, Alexander S.
A randomized quasi-Monte Carlo algorithms for some boundary value problems. (English) Zbl 1452.65386
Pinelas, Sandra (ed.) et al., Differential and difference equations with applications. Selected papers based on the presentations at the fourth international conference, ICDDEA 2019, Lisbon, Portugal, July 1–5, 2019. Cham: Springer. Springer Proc. Math. Stat. 333, 11-19 (2020).
MSC:  65N75 65C05
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\textit{A. S. Sipin}, Springer Proc. Math. Stat. 333, 11--19 (2020; Zbl 1452.65386)
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Moutsinga, Claude Rodrigue Bambe; Pindza, Edson; Maré, Eben
A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models. (English) Zbl 07261584
Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105159, 16 p. (2020).
Reviewer: Bülent Karasözen (Ankara)
MSC:  65M70 65M22 65M12 44A15 35R09 45K05 91G20 91G60 60G55
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\textit{C. R. B. Moutsinga} et al., Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105159, 16 p. (2020; Zbl 07261584)
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Kim, Hyundong; Kim, Sangkwon; Han, Hyunsoo; Jang, Hanbyeol; Lee, Chaeyoung; Kim, Junseok
Domain of influence of local volatility function on the solutions of the general Black-Scholes equation. (English) Zbl 1452.91327
J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 27, No. 1, 43-50 (2020).
Reviewer: Bülent Karasözen (Ankara)
MSC:  91G60 65N06 91G20
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\textit{H. Kim} et al., J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 27, No. 1, 43--50 (2020; Zbl 1452.91327)
Suzuki, Yuya; Nuyens, Dirk
Rank-1 lattices and higher-order exponential splitting for the time-dependent Schrödinger equation. (English) Zbl 07240110
Tuffin, Bruno (ed.) et al., Monte Carlo and quasi-Monte Carlo methods. MCQMC 2018. Proceedings of the 13th international conference on Monte Carlo and quasi-Monte Carlo methods in scientific computing, Rennes, France, July 1–6, 2018. Cham: Springer (ISBN 978-3-030-43464-9/hbk; 978-3-030-43465-6/ebook). Springer Proceedings in Mathematics & Statistics 324, 485-502 (2020).
MSC:  65C05
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\textit{Y. Suzuki} and \textit{D. Nuyens}, in: Monte Carlo and quasi-Monte Carlo methods. MCQMC 2018. Proceedings of the 13th international conference on Monte Carlo and quasi-Monte Carlo methods in scientific computing, Rennes, France, July 1--6, 2018. Cham: Springer. 485--502 (2020; Zbl 07240110)
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Stein, Andreas; Barth, Andrea
A multilevel Monte Carlo algorithm for parabolic advection-diffusion problems with discontinuous coefficients. (English) Zbl 07240108
Tuffin, Bruno (ed.) et al., Monte Carlo and quasi-Monte Carlo methods. MCQMC 2018. Proceedings of the 13th international conference on Monte Carlo and quasi-Monte Carlo methods in scientific computing, Rennes, France, July 1–6, 2018. Cham: Springer (ISBN 978-3-030-43464-9/hbk; 978-3-030-43465-6/ebook). Springer Proceedings in Mathematics & Statistics 324, 445-466 (2020).
MSC:  65C05
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\textit{A. Stein} and \textit{A. Barth}, in: Monte Carlo and quasi-Monte Carlo methods. MCQMC 2018. Proceedings of the 13th international conference on Monte Carlo and quasi-Monte Carlo methods in scientific computing, Rennes, France, July 1--6, 2018. Cham: Springer. 445--466 (2020; Zbl 07240108)
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Petersson, Andreas
Rapid covariance-based sampling of linear SPDE approximations in the multilevel Monte Carlo method. (English) Zbl 07240107
Tuffin, Bruno (ed.) et al., Monte Carlo and quasi-Monte Carlo methods. MCQMC 2018. Proceedings of the 13th international conference on Monte Carlo and quasi-Monte Carlo methods in scientific computing, Rennes, France, July 1–6, 2018. Cham: Springer (ISBN 978-3-030-43464-9/hbk; 978-3-030-43465-6/ebook). Springer Proceedings in Mathematics & Statistics 324, 423-443 (2020).
MSC:  65C05
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\textit{A. Petersson}, in: Monte Carlo and quasi-Monte Carlo methods. MCQMC 2018. Proceedings of the 13th international conference on Monte Carlo and quasi-Monte Carlo methods in scientific computing, Rennes, France, July 1--6, 2018. Cham: Springer. 423--443 (2020; Zbl 07240107)
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Zheng, Y. X.; Zhang, Y. H.; Lu, X. H.
On the volatility of high frequency stock index based on SV model of MCMC. (English) Zbl 07224877
Roy, Priti Kumar (ed.) et al., Mathematical analysis and applications in modeling. Selected papers presented at the international conference, ICMAAM 2018, Kolkata, India, January 9–12, 2018. Singapore: Springer (ISBN 978-981-15-0421-1/hbk; 978-981-15-0422-8/ebook). Springer Proceedings in Mathematics & Statistics 302, 271-278 (2020).
MSC:  91G60 65C05 91G15
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\textit{Y. X. Zheng} et al., in: Mathematical analysis and applications in modeling. Selected papers presented at the international conference, ICMAAM 2018, Kolkata, India, January 9--12, 2018. Singapore: Springer. 271--278 (2020; Zbl 07224877)
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Koleva, Miglena N.; Vulkov, Lubin G.
Valuation of European options with liquidity shocks switching by fitted finite volume method. (English) Zbl 1444.91219
Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 12th international conference, LSSC 2019, Sozopol, Bulgaria, June 10–14, 2019. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 11958, 584-592 (2020).
MSC:  91G60 65M08 91G20
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\textit{M. N. Koleva} and \textit{L. G. Vulkov}, Lect. Notes Comput. Sci. 11958, 584--592 (2020; Zbl 1444.91219)
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Zakharov, Petr; Iliev, Oleg; Mohring, Jan; Shegunov, Nikolay
Parallel multilevel Monte Carlo algorithms for elliptic PDEs with random coefficients. (English) Zbl 07223058
Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 12th international conference, LSSC 2019, Sozopol, Bulgaria, June 10–14, 2019. Revised selected papers. Cham: Springer (ISBN 978-3-030-41031-5/pbk; 978-3-030-41032-2/ebook). Lecture Notes in Computer Science 11958, 463-472 (2020).
MSC:  65
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\textit{P. Zakharov} et al., Lect. Notes Comput. Sci. 11958, 463--472 (2020; Zbl 07223058)
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Temirgaliev, N.; Abikenova, Sh. K.; Azhgaliev, Sh. U.; Taugynbaeva, G. E.
The Radon transform in the scheme of C(N)D-investigations and the quasi-Monte Carlo theory. (English. Russian original) Zbl 07215273
Russ. Math. 64, No. 3, 87-92 (2020); translation from Izv. Vyssh. Uchebn. Zaved., Mat. 2020, No. 3, 98-104 (2020).
MSC:  65D 41A 41
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\textit{N. Temirgaliev} et al., Russ. Math. 64, No. 3, 87--92 (2020; Zbl 07215273); translation from Izv. Vyssh. Uchebn. Zaved., Mat. 2020, No. 3, 98--104 (2020)
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