FX Smile in the Heston Model [PDF]
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets.
Agnieszka Janek +3 more
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The R Package JMbayes for Fitting Joint Models for Longitudinal and Time-to-Event Data using MCMC [PDF]
, 2014 Joint models for longitudinal and time-to-event data constitute an attractive modeling framework that has received a lot of interest in the recent years.
Rizopoulos, Dimitris
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An introduction to quadrature and other numerical integration techniques [PDF]
, 2007 The objective in numerical integration is the approximation of a definite integral using numerical techniques. There are a large number of numerical integration methods in the literature and this article overviews some of the most common ones, namely ...
Ausín, M. Concepción
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Interpolation, projection and hierarchical bases in discontinuous Galerkin methods
, 2013 The paper presents results on piecewise polynomial approximations of tensor product type in Sobolev-Slobodecki spaces by various interpolation and projection techniques, on error estimates for quadrature rules and projection operators based on ...
Angermann, Lutz, Henke, Christian
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Theoretical Estimate of the Glass Transition Line of Yukawa One-Component Plasmas. [PDF]
Molecules, 2021 Lucco Castello F, Tolias P.
europepmc +1 more source
The development of accurate and efficient methods of numerical quadrature [PDF]
Some new methods for performing numerical quadrature of an integrable function over a finite interval are described. Each method provides a sequence of approximations of increasing order to the value of the integral.
Feagin, T.
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Risk-Neutrality of RND and Option Pricing within an Entropy Framework. [PDF]
Entropy (Basel), 2020 Yu X.
europepmc +1 more source
JM: An R Package for the Joint Modelling of Longitudinal and Time-to-Event Data [PDF]
In longitudinal studies measurements are often collected on different types of outcomes for each subject. These may include several longitudinally measured responses (such as blood values relevant to the medical condition under study) and the time at ...
Dimitris Rizopoulos
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Universal expression for the drag on a fluid sphere. [PDF]
PLoS One, 2018 Barry DA, Parlange JY.
europepmc +1 more source
A numerical study of radial basis function based methods for option pricing under one dimension jump-diffusion model [PDF]
The aim of this paper is to show how option prices in the Jump-diffusion model can be computed using meshless methods based on Radial Basis Function (RBF) interpolation.
Chan, Ron T.L., Hubbert, Simon
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