26 citations · 66 across the 11 of their papers we have counts for
12 papers
Convergence of stationary radial basis function-schemes for evolution equations
Brad Baxter, Raymond Brummelhuis
We establish precise convergence rates for semi-discrete schemes based on Radial Basis Function interpolation, as well as approximate approximation results for such schemes. Our sc…
Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives
Raymond Brummelhuis, Zhongmin Luo
Absence-of-Arbitrage (AoA) is the basic assumption underpinning derivatives pricing theory. As part of the OTC derivatives market, the CDS market not only provides a vehicle for pa…
Stable reconstruction of the volatility in a regime-switching local volatility model
Mourad Bellassoued, Raymond Brummelhuis, Michel Cristofol +1
Prices of European call options in a regime-switching local volatility model can be computed by solving a parabolic system which generalises the classical Black and Scholes equatio…
CDS Rate Construction Methods by Machine Learning Techniques
Raymond Brummelhuis, Zhongmin Luo
Regulators require financial institutions to estimate counterparty default risks from liquid CDS quotes for the valuation and risk management of OTC derivatives. However, the vast…
Determining the implied volatility in the Dupire equation for vanilla European call options
Mourad Bellassoued, Raymond Brummelhuis, Michel Cristofol +1
The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied vol…
H2 molecule in strong magnetic fields
Mathieu Beau, Rafael Benguria, Raymond Brummelhuis +1
The Pauli-Hamiltonian of a molecule with fixed nuclei in a strong constant magnetic field is asymptotic, in norm-resolvent sense, to an effective Hamiltonian which has the form of…