Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio; Romero Bauset, José Vicente; Roselló Ferragud, María Dolores(Elsevier, 2011-11)
The aim of this paper is twofold. First, we deal with the extension to the random framework of the piecewise Fröbenius method to solve Airy differential equations. This extension is based on mean square stochastic calculus. ...
Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; Pintos Taronger, José Ramón(Elsevier, 2012-06)
Markets liquidity is an issue of very high concern in financial risk management. In a perfect liquid market the option pricing model becomes the well-known linear Black-Scholes problem. Nonlinear models appear when transaction ...
García Ureta, Irene; Jódar Sánchez, Lucas Antonio; Merello Giménez, Paloma; Santonja, Francisco-José(Elsevier, 2011-10)
This paper deals with the construction of a discrete mathematical model for addictive buying. Firstly, identifications of consumers buying behavior are performed by using multivariate statistical techniques based on real ...
Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio(Elsevier, 2021-11)
[EN] American options prices under jump-diffusion models are determined by a free boundary partial integro-differential equation (PIDE) problem. In this paper, we propose a front-fixing exponential time differencing (FF-ETD) ...
Piqueras-García, Miguel Ángel; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Elsevier, 2017)
[EN] The spatial temporal spreading of a new invasive species in a habitat has interest in ecology
and is modeled by a moving boundary diffusion logistic partial differential problem, where
the moving boundary represents ...
Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah(Vilnius Gediminas Technical University, 2018)
[EN] In this work, we apply the local Wendland radial basis function (RBF) for solving the time-dependent multi dimensional option pricing nonlinear PDEs.
Firstly, cross derivative terms of the PDE are removed with a ...
Almenar, P.; Jódar Sánchez, Lucas Antonio(Elsevier, 2011-04)
This paper presents a Lyapunov-type inequality for the second order nonlinear equation (r(x)y')' + p(x)f(y(x)) = 0, with r(x), p(x) > 0 and f(y) odd and positive for y > O. It also compares it with similar results. (C) ...
Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah(Elsevier, 2016-10)
The challenge of removing the mixed derivative terms of a second order multidimensional
partial differential equation is addressed in this paper. The proposed
method, which is based on proper algebraic factorization of ...
Egorova, Vera; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Elsevier, 2016-01)
[EN] A system of coupled free boundary problems describing American put option pricing under regime switching is considered. In order to build numerical solution firstly a front-fixing transformation is applied. Transformed ...
Casabán Bartual, Mª Consuelo; Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio(Elsevier, 2015-05)
[EN] This paper deals with the explicit solution of random mixed parabolic equations in unbounded domains by using the random Laplace transform to second order stochastic processes. The mean square random Laplace operational ...
De la Poza, Elena; Jódar Sánchez, Lucas Antonio(Springer-Verlag, 2018)
[EN] A relevant proportion of deaths by suicide have been attributed to other causes that produce the number of suicides remains hidden. The existence of a hidden number of cases is explained by the nature of the problem. ...
Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah(John Wiley & Sons, 2019-05)
[EN] We propose a local mesh-free method for the Bates¿Scott
option pricing model, a 2D partial integro-differential
equation (PIDE) arising in computational finance. A Wendland
radial basis function (RBF) approach is used ...
Almenar, Pedro; Jódar Sánchez, Lucas Antonio(MDPI AG, 2021-11)
[EN] This paper provides a method to bound and calculate any eigenvalues and eigenfunctions of n-th order boundary value problems with sign-regular kernels subject to two-point boundary conditions. The method is based on ...
Ehrhardt, Matthias; Jódar Sánchez, Lucas Antonio; Villanueva Micó, Rafael Jacinto(Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2014)
It is with pleasure that we offer the readers of the International Journal of Computer Mathematics
this special issue consisting of some of the most significant contributions to computational
and mathematical methods ...
Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio(Hindawi Publishing Corporation, 2016)
[EN] This paper deals with numerical analysis and computing of spread option pricing problem described by a two-spatial variables
partial differential equation. Both European and American cases are treated. Taking advantage ...
Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Fuster Valls, Ferran(TECH SCIENCE PRESS, 4924 BALBOA BLVD, # 488, ENCINO, USA, CA, 91316, 2020)
[EN] A numerical method for American options pricing on assets under the Heston stochastic volatility model is developed. A preliminary transformation is applied to remove the mixed derivative term avoiding known numerical ...
Almenar, Pedro; Jódar Sánchez, Lucas Antonio(Elsevier, 2012-01)
This paper presents an upper bound for the distance between a zero and a critical point of a solution of the second order linear differential equation (p(x)y¿)¿+q(x)y(x)=0(p(x)y¿)¿+q(x)y(x)=0, with p(x),q(x)>0p(x),q(x)>0. ...
Jódar Sánchez, Lucas Antonio; De la Poza, Elena(Hindawi Publishing Corporation, 2015)
The aim of this special issue is to relativize some myths about the publication of research papers. It is clear that an evaluation is necessary because what is not evaluated tends to be devalued. Yet a rigorous evaluation ...
Casabán Bartual, Mª Consuelo; Cortés López, Juan Carlos; García Mora, María Belén; Jódar Sánchez, Lucas Antonio(Hindawi Publishing Corporation, 2013)
[EN] This paper deals with the analytic-numerical solution of random heat problems for the temperature distribution in a semi-infinite bar with different boundary value conditions. We apply a random Fourier sine and cosine ...
Casabán, M.C.; Cortés, J.-C.; Jódar Sánchez, Lucas Antonio(Vilnius Gediminas Technical University, 2018)
[EN] This paper deals with the construction of mean square analytic-numerical solution of parabolic partial differential problems where both initial condition and coefficients are stochastic processes. By using a random ...