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Browsing by Author "Jódar Sánchez, Lucas Antonio"

Now showing items 1-20 of 129

A comparative study to the numerical approximation of random Airy differential equation

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. ...
A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets

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 ...
A discrete mathematical model for addictive buying: Predicting the affected population evolution

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 ...
A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems

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) ...
A front-fixing method for American option pricing on zero-coupon bond under the Hull and White model

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Peris, Jorge (John Wiley & Sons, 2022-04)

[EN] A new efficient numerical method is proposed for valuation of American option on zero-coupon bond using Hull and White model. By applying the front-fixing transformation suggested by Holmes and Yang, the original free ...
A front-fixing numerical method for a free boundary nonlinear diffusion logistic population model

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 ...
A local radial basis function method for high-dimensional American option pricing problems

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 ...
A Lyapunov inequality for a second order nonlinear differential equation

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) ...
A mixed derivative terms removing method in multi-asset option pricing problems

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 ...
A New Efficient Numerical Method for Solving American Option under Regime Switching Model

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 ...
A random Laplace transform method for solving random mixed parabolic differential problems

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 ...
A Short-Term Population Model of the Suicide Risk: The Case of Spain

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. ...
A stable local radial basis function method for option pricing problem under the Bates model

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 ...
Accurate estimations of Any Eigenpairs of N-th Order Linear Boundary Value Problems

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 ...
Advanced computational engineering

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 ...
An efficient method for solving spread option pricing problem: numerical analysis and computing

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 ...
An ETD Method for American Options under the Heston Model

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 ...
An upper bound for the distance between a zero and a critical point of a solution of a second order linear differential equation

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. ...
Analysis and Models in Interdisciplinary Mathematics 2015

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 ...
Analytic-numerical solution of random boundary value heat problems in a semi-infinite bar

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 ...