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Numerical methods for the quadratic hedging problem in Markov models with jumps
Quadratic hedging Hamilton-Jacobi-Bellman equation Markov jump processes Par-tial integro-di erential equation Holder spaces electricity markets discretization schemes for PIDE.
2012/9/14
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value f...
Pricing of average strike Asian call option using numerical PDE methods
Asian Option Crank Nicolson Implicit Method Higher Order Compact Monte Carlo Simulation
2011/7/4
In this paper, a standard PDE for the pricing of arithmetic average strike Asian call option is presented. A Crank-Nicolson Implicit Method and a Higher Order Compact finite difference scheme for this...
Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option
Comparison Two Numerical Methods American Type of the Floating Strike Asian Option
2011/7/4
We present a numerical approach for solving the free bound-
ary problem for the Black-Scholes equation for pricing American style
of floating strike Asian options. A fixed domain transformation of t...
Numerical methods for optimal insurance demand under marked point processes shocks
Optimal insurance stochastic control duality dynamic programming principle
2010/10/21
This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked p...
Numerical methods for an optimal order execution problem
Optimal liquidation Impulse control problem Quasi-variational inequality
2010/10/20
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The c...
On a class of semi-elliptic diffusion models. Part I: a constructive analytical approach for global existence, densities, and numerical schemes
Degenerate parabolic equations financial derivatives
2010/10/18
Semi-elliptic stochastic differential equations (SDEs) are common models among practitioners. However, value functions and sensitivities of such models are described by degenerate parabolic partial d...
Computing Tails of Compound Distributions Using Direct Numerical Integration
characteristic function compound distribution truncation error
2010/10/29
An efficient adaptive direct numerical integration (DNI) algorithm is developed for computing
high quantiles and conditional Value at Risk (CVaR) of compound distributions using
characteristic funct...