2 citations · 3 across the 8 of their papers we have counts for
9 papers
Isogeometric Analysis for the Pricing of Financial Derivatives with Nonlinear Models: Convertible Bonds and Options
Rakhymzhan Kazbek, Yogi Erlangga, Yerlan Amanbek +1
Computational efficiency is essential for enhancing the accuracy and practicality of pricing complex financial derivatives. In this paper, we discuss Isogeometric Analysis (IGA) fo…
Explicit inverse of symmetric, tridiagonal near Toeplitz matrices Part II: with weakly diagonally dominant Toeplitz
Bakytzhan Kurmanbek, Yogi Erlangga, Yerlan Amanbek
In this paper, we provide explicit formulas for the exact inverses of the symmetric tridiagonal near-Toeplitz matrices characterized by weak diagonal dominance in the Toeplitz part…
Explicit inverse of symmetric, tridiagonal near Toeplitz matrices with strictly diagonally dominant Toeplitz part
Bakytzhan Kurmanbek, Yogi Erlangga, Yerlan Amanbek
This study investigates tridiagonal near-Toeplitz matrices in which the Toeplitz part is strictly diagonally dominant. The focus is on determining the exact inverse of these matric…
Valuation of the Convertible Bonds under Penalty TF model using Finite Element Method
Rakhymzhan Kazbek, Yogi Erlangga, Yerlan Amanbek +1
In this paper, the TF system of two-coupled Black-Scholes equations for pricing the convertible bonds is solved numerically by using the P1 and P2 finite elements with the inequali…
Inverse properties of a class of pentadiagonal matrices related to higher order difference operators
Bakytzhan Kurmanbek, Yogi Erlangga, Yerlan Amanbek
This paper analyzes the convergence of fixed-point iterations of the form u = f(u) and the properties of the inverse of the related pentadiagonal matrices, associated with the four…
Inverse properties of a class of seven-diagonal (near) Toeplitz matrices
Bakytzhan Kurmanbek, Yogi Erlangga, Yerlan Amanbek
This paper discusses the explicit inverse of a class of seven-diagonal (near) Toeplitz matrices, which arises in the numerical solutions of nonlinear fourth-order differential equa…
Finite element solutions of the nonlinear RAPM Black-Scholes model
Dongming Wei, Yogi Ahmad Erlangga, Andrey Pak +1
his paper presents finite element methods for solving numerically the Risk-Adjusted Pricing Methodology (RAPM) Black-Scholes model for option pricing with transaction costs. Spatia…
A Finite Element Approach to the Numerical Solutions of Leland's Mode
Dongming Wei, Yogi Ahmad Erlangga, Gulzat Zhumakhanova
In this paper, finite element method is applied to Leland's model for numerical simulation of option pricing with transaction costs. Spatial finite element models based on P1 and/o…
A proof of Anđelić-Fonseca conjectures on the determinant of some Toeplitz matrices and their generalization
Bakytzhan Kurmanbek, Yerlan Amanbek, Yogi Erlangga
We present a proof of determinant of special nonsymmetric Toeplitz matrices conjectured by Anđelić and Fonseca in \cite{andjelic2020some}. A proof is also demonstrated for a more g…