2 papers
math.NA2020
A Finite Elements Strategy for Spread Contract Valuation Via Associated PIDE
Pablo Olivares, Ciro Diaz
We study an efficient strategy based on finite elements to value spread options on commodities whose underlying assets follow a dynamic described by a certain class of two-dimensio…
math.NA2020
On the conservation properties in multiple scale coupling and simulation for Darcy flow with hyperbolic-transport in complex flows
Juan Galvis, Eduardo Abreu, Ciro Diaz +1
We present and discuss a novel approach to deal with conservation properties for the simulation of nonlinear complex porous media flows in the presence of: 1) multiscale heterogene…