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math.OC2012
A Reduced Basis Method for the Simulation of American Options
Bernard Haasdonk, Julien Salomon, Barbara Wohlmuth
We present a reduced basis method for the simulation of American option pricing. To tackle this model numerically, we formulate the problem in terms of a time dependent variational…
q-bio.QM2012★ 6 cited
Efficient parametric analysis of the chemical master equation through model order reduction
Steffen Waldherr, Bernard Haasdonk
Background: Stochastic biochemical reaction networks are commonly modelled by the chemical master equation, and can be simulated as first order linear differential equations throug…