Finite Difference Methods for Option Pricing under Lévy Processes: Wiener-Hopf Factorization Approach [PDF]
The Scientific World Journal, 2013 In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation.
Oleg Kudryavtsev
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The Wiener–Hopf technique, its generalizations and applications: constructive and approximate methods [PDF]
Proc Math Phys Eng Sci, 2021 This paper reviews the modern state of the Wiener–Hopf factorization method and its generalizations. The main constructive results for matrix Wiener–Hopf problems are presented, approximate methods are outlined and the main areas of applications are ...
A. Kisil +3 more
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An explicit Wiener–Hopf factorization algorithm for matrix polynomials and its exact realizations within ExactMPF package [PDF]
Proc Math Phys Eng Sci, 2022 We discuss an explicit algorithm for solving the Wiener–Hopf factorization problem for matrix polynomials. By an exact solution of the problem, we understand the one constructed by a symbolic computation.
V. Adukov, N. Adukova, G. Mishuris
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The generalized Wiener–Hopf equations for wave motion in angular regions: electromagnetic application [PDF]
Proc Math Phys Eng Sci, 2021 In this work, we introduce a general method to deduce spectral functional equations and, thus, the generalized Wiener–Hopf equations (GWHEs) for wave motion in angular regions filled by arbitrary linear homogeneous media and illuminated by sources ...
V. Daniele, G. Lombardi
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On the Wiener–Hopf solution of water-wave interaction with a submerged elastic or poroelastic plate [PDF]
Proc Math Phys Eng Sci, 2020 A solution to the problem of water-wave scattering by a semi-infinite submerged thin elastic plate, which is either porous or non-porous, is presented using the Wiener–Hopf technique.
Michael D. Smith +3 more
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Reinvigorating the Wiener-Hopf technique in the pursuit of understanding processes and materials [PDF]
Natl Sci Rev, 2020 The Wiener-Hopf (WH) method was created in 1931, by Norbert Wiener and Eberhard Hopf, to deliver exact solutions to integral equations with convolution-type kernels on a half-line.
I. Abrahams +6 more
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Deep neural networks for waves assisted by the Wiener–Hopf method [PDF]
Proc Math Phys Eng Sci, 2020 In this work, the classical Wiener–Hopf method is incorporated into the emerging deep neural networks for the study of certain wave problems. The essential idea is to use the first-principle-based analytical method to efficiently produce a large volume ...
Xun Huang
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Applying an iterative method numerically to solve n × n matrix Wiener–Hopf equations with exponential factors [PDF]
Philos Trans A Math Phys Eng Sci, 2019 This paper presents a generalization of a recent iterative approach to solving a class of 2 × 2 matrix Wiener–Hopf equations involving exponential factors. We extend the method to square matrices of arbitrary dimension n, as arise in mixed boundary value
Matthew J. Priddin +2 more
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Weyl metrics and Wiener-Hopf factorization [PDF]
Journal of High Energy Physics, 2020 We consider the Riemann-Hilbert factorization approach to the construction of Weyl metrics in four space-time dimensions. We present, for the first time, a rigorous proof of the remarkable fact that the canonical Wiener-Hopf factorization of a matrix ...
P. Aniceto +3 more
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Toeplitz operators and Wiener-Hopf factorisation: an introduction [PDF]
Concrete Operators, 2017 Wiener-Hopf factorisation plays an important role in the theory of Toeplitz operators. We consider here Toeplitz operators in the Hardy spaces Hp of the upper half-plane and we review how their Fredholm properties can be studied in terms of a Wiener-Hopf
Câmara M. Cristina
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