14 papers
Boundary treatment for high-order IMEX Runge-Kutta local discontinuous Galerkin schemes for multidimensional nonlinear parabolic PDEs
V. González-Tabernero, J. G. López-Salas, M. J. Castro-DÃaz +1
In this article, we propose novel boundary treatment algorithms to avoid order reduction when implicit-explicit Runge-Kutta time discretization is used for solving convection-diffu…
A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
In this article we present a novel and general methodology for building second order finite volume implicit-explicit (IMEX) numerical schemes for solving two dimensional financial…
Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
We present a novel and general methodology for building second-order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two-dimensional financial parabolic P…
IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible no…
PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)
J. G. López-Salas, S. Pérez-RodrÃguez, C. Vázquez
In this article we derive partial differential equations (PDEs) for pricing interest rate derivatives under the generalized Forward Market Model (FMM) recently presented by A. Lyas…
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
A. Agarwal, S. De Marco, E. Gobet +3
We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide ex…