2 papers
q-fin.CP2024
On the Hull-White model with volatility smile for Valuation Adjustments
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
Affine Diffusion dynamics are frequently used for Valuation Adjustments (xVA) calculations due to their analytic tractability. However, these models cannot capture the market-impli…
physics.flu-dyn2023
Energy-stable discretization of the one-dimensional two-fluid model
J. F. H. Buist, B. Sanderse, S. Dubinkina +2
In this paper we present a complete framework for the energy-stable simulation of stratified incompressible flow in channels, using the one-dimensional two-fluid model. Building on…