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
A fast Chebyshev exponential-integrator solver for stochastic PDEs on bounded domains with non-homogeneous Dirichlet boundary data. [PDF]
MethodsXSarker RC, Islam MS, Rahman A.
europepmc +1 more source
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
Stability analysis of nonlinear algebraic-differential equations with 2-delays and numerical methods. [PDF]
PLoS OneLiao H, Li Q, Xia X, Tang D.
europepmc +1 more source
What does it mean to be a post‐Newtonian? Schelling on competing scientific models
The Southern Journal of Philosophy, EarlyView.Abstract While Schelling's position has often been portrayed as highly critical of Newton, his discussion of Newton's theories has never been thoroughly studied. The goal of this paper is to analyze in more detail the relationship between Schelling and Newton, with an eye toward the fundamental question that guides Schelling: how can conflicts between ...
Raphaël Authier
wiley +1 more source
Linearly Implicit Finite Element Methods Approximating the Solution to the Nonlinear Schrödinger Equation with a Schamel-Type Nonlinearity. [PDF]
J Sci ComputParaschis P, Zouraris GE.
europepmc +1 more source
The Journal of Physiology, EarlyView.Abstract figure legend Schematic overview of the experimental and computational framework for investigating hiPSC‐CM electrophysiology with MEA systems. The MEA‐based model integrates experimental data with phenotype‐specific ionic models and tissue‐level heterogeneity.
Sofia Botti +2 more
wiley +1 more source
An effective and accurate semi-implicit time integration scheme for dynamics in nearly- and fully-incompressible hyperelastic solids. [PDF]
J Comput PhysTerrell EM +3 more
europepmc +1 more source
An eikonal model with re‐excitability for fast simulations in cardiac electrophysiology
The Journal of Physiology, EarlyView.Abstract figure legend Restitution properties obtained from cable‐equation simulations and anisotropic remeshing informed by local fibre orientation are combined in an eikonal model with re‐excitability. The resulting reduced electrophysiology model enables efficient simulations of recurrent activation patterns, here illustrated by atrial re‐entry ...
Lia Gander +3 more
wiley +1 more source
Quasi-exact Approximation of Hidden Markov Chain Filters [PDF]
This paper studies the application of exact simulation methods for multi-dimensional multiplicative noise stochastic differential equations to filtering.
Eckhard Platen, Renata Rendek
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