activity
20122026
most citedA hybrid approach for the implementation of the Heston model

18 citations · 96 across the 20 of their papers we have counts for

collaborators

22 papers

math.AP2026

Conservation Laws with Discontinuous Flux: A First Application to Traffic Flow

Roberta Bianchini, Maya Briani, Benedetto Piccoli

This work provides a traffic flow interpretation of the model recently introduced in \cite{ABS2025}. We adapt the conservation law with discontinuous gradient-dependent flux to a m…

math.NA2025

A relaxation scheme for the equations of isentropic gas dynamics on a network with jump transmission conditions

Magali Ribot, Roberto Natalini, Maya Briani

In this paper we propose a new numerical scheme of relaxation type to approximate the Euler equations of isentropic gas dynamics on the arcs of a network. At the junction mass cons…

math.AP2024

Adapting Priority Riemann Solver for GSOM on road networks

Caterina Balzotti, Roberta Bianchini, Maya Briani +1

In this paper, we present an extension of the Generic Second Order Models (GSOM) for traffic flow on road networks. We define a Riemann solver at the junction based on a priority r…

math.AP2024

Numerical computation of generalized Wasserstein distances with applications to traffic model analysis

Maya Briani, Emiliano Cristiani, Giovanni Franzina +1

Generalized Wasserstein distances allow to quantitatively compare two continuous or atomic mass distributions with equal or different total mass. In this paper, we propose four num…

cs.LG2023★ 7 cited

Inverting the Fundamental Diagram and Forecasting Boundary Conditions: How Machine Learning Can Improve Macroscopic Models for Traffic Flow

Maya Briani, Emiliano Cristiani, Elia Onofri

In this paper, we aim at developing new methods to join machine learning techniques and macroscopic differential models for vehicular traffic estimation and forecast. It is well kn…

math.NA2022

Estimate of traffic emissions through multiscale second order models with heterogeneous data

Caterina Balzotti, Maya Briani

In this paper we propose a multiscale traffic model, based on the family of Generic Second Order Models, which integrates multiple trajectory data into the velocity function. This…

math.DS2021★ 4 cited

Macroscopic and multi-scale models for multi-class vehicular dynamics with uneven space occupancy: a case study

Maya Briani, Emiliano Cristiani, Paolo Ranut

In this paper we propose two models describing the dynamics of heavy and light vehicles on a road network, taking into account the interactions between the two classes. The models…

math.NA2021

Angle dependence in coupling conditions for shallow water equations at canal junctions

Maya Briani, Gabriella Puppo, Magali Ribot

In this paper we propose a numerical Riemann problem solver at the junction of one dimensional shallow-water canal networks. The junction conditions take into account the angles wi…

physics.soc-ph2020

Emissions minimization on road networks via Generic Second Order Models

Caterina Balzotti, Maya Briani, Benedetto Piccoli

In this paper we consider the problem of estimating emissions due to vehicular traffic on complex networks, and minimizing their effect by regulating traffic at junctions. For the…

math.NA2019

Evaluation of emissions and ozone production due to vehicular traffic via second-order models

Caterina Balzotti, Maya Briani, Barbara De Filippo +1

The societal impact of traffic is a long-standing and complex problem. We focus on the estimation of ozone production due to vehicular traffic. For this, we couple a system of cons…

math.NA2019★ 7 cited

Understanding Mass Transfer Directions via Data-Driven Models with Application to Mobile Phone Data

Alessandro Alla, Caterina Balzotti, Maya Briani +1

The aim of this paper is to solve an inverse problem which regards a mass moving in a bounded domain. We assume that the mass moves following an unknown velocity field and that the…

math.PR2018★ 1 cited

Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusions with application to the Bates model

Maya Briani, Lucia Caramellino, Giulia Terenzi

We study the rate of weak convergence of Markov chains to diffusion processes under suitable but quite general assumptions. We give an example in the financial framework, applying…

math.NA2018

Open canals flow with fluvial to torrential phase transitions on networks

Maya Briani, Benedetto Piccoli

Network flows and specifically open canal flows can be modeled by systems of balance laws defined on topological graphs. The shallow water or Saint-Venant system of balance laws is…

physics.soc-ph2018

Understanding Human Mobility Flows from Aggregated Mobile Phone Data

Caterina Balzotti, Andrea Bragagnini, Maya Briani +1

In this paper we deal with the study of travel flows and patterns of people in large populated areas. Information about the movements of people is extracted from coarse-grained agg…

math.NA2016★ 5 cited

Sensitivity analysis of the LWR model for traffic forecast on large networks using Wasserstein distance

Maya Briani, Emiliano Cristiani, Elisa Iacomini

In this paper we investigate the sensitivity of the LWR model on network to its parameters and to the network itself. The quantification of sensitivity is obtained by measuring the…

q-fin.CP2016★ 5 cited

Numerical stability of a hybrid method for pricing options

Maya Briani, Lucia Caramellino, Giulia Terenzi +1

We develop and study stability properties of a hybrid approximation of functionals of the Bates jump model with stochastic interest rate that uses a tree method in the direction of…

q-fin.CP2015★ 16 cited

A hybrid tree/finite-difference approach for Heston-Hull-White type models

M. Briani, L. Caramellino, A. Zanette

We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d…

q-bio.PE2014★ 2 cited

A non-local rare mutations model for quasispecies and Prisoner's dilemma: numerical assessment of qualitative behaviour

A. L. Amadori, M. Briani, R. Natalini

An integro-differential model for evolutionary dynamics with mutations is investigated by improving the understanding of its behavior using numerical simulations. The proposed nume…

math.NA2014★ 17 cited

An easy-to-use algorithm for simulating traffic flow on networks: theoretical study

Maya Briani, Emiliano Cristiani

In this paper we study a model for traffic flow on networks based on a hyperbolic system of conservation laws with discontinuous flux. Each equation describes the density evolution…

math.NA2013★ 14 cited

An easy-to-use algorithm for simulating traffic flow on networks: numerical experiments

Gabriella Bretti, Maya Briani, Emiliano Cristiani

In this paper we propose a Godunov-based discretization of a hyperbolic system of conservation laws with discontinuous flux, modeling vehicular flow on a network. Each equation des…

q-fin.CP2013★ 18 cited

A hybrid approach for the implementation of the Heston model

Maya Briani, Lucia Caramellino, Antonino Zanette

We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we s…

math.NA2012

Time Asymptotic High Order Schemes for Dissipative BGK Hyperbolic Systems

Denise Aregba-Driollet, Maya Briani, Roberto Natalini

We introduce a new class of finite differences schemes to approximate one dimensional dissipative semilinear hyperbolic systems with a BGK structure. Using precise analytical time-…