Results 71 to 80 of about 86,380,618 (176)
The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube
Journal of Economic Surveys, EarlyView.ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng +2 more
wiley +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Radial basis function based meshless methods for fluid flow problems
, 2006 This thesis is concerned with the development of meshless methods using radial basis functions for solving fluid flow problems. The advantage of meshless methods over traditional mesh-based methods is that they make use of a scattered set of collocation ...
Chinchapatnam, Phani P. +1 more
core +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Numerical Simulation Study of Custom Partial Differential Weak Form Equations Based on COMSOL
工程科学与技术ObjectiveLimitations of predefined physics interfaces in handling nonstandard models, complex boundary conditions, and tailored discretizations motivate a weak-form strategy in COMSOL Multiphysics (COMSOL) that directly expresses governing equations ...
REN Shuaichen +5 more
doaj
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source
Mathematical Finance, EarlyView.ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang +2 more
wiley +1 more source
Computing Solution Operators of Boundary-value Problems for Some Linear Hyperbolic Systems of PDEs
, 2017 We discuss possibilities of application of Numerical Analysis methods to proving computability, in the sense of the TTE approach, of solution operators of boundary-value problems for systems of PDEs.
Selivanov, Victor +3 more
core +1 more source
The Journal of Physiology, EarlyView.Abstract figure legend Ephaptic phenomena in a high‐resolution model of the cardiac intercalated disc. Meshed representation of a tortuous intercalated disc that was generated based on electron and super‐resolution microscopy data. Na+ channels (red) and gap junctions (green) are heterogeneously distributed, with additional regions of reduced ion ...
Ena Ivanovic +4 more
wiley +1 more source
Drift‐Diffusion Models with Schottky Contacts at Metal–Semiconductor Interfaces
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT The paper deals with a drift‐diffusion model for semiconductor devices with Schottky contacts at all metal–semiconductor interfaces. The presented analytical investigations permit Boltzmann as well as Fermi–Dirac statistics for the charge‐carrier densities.
Annegret Glitzky, Matthias Liero
wiley +1 more source