El-Fakharany, Mohamed Mostafa Refaat(Universitat Politècnica de València, 2015-07-29)
[EN] In the stock markets, the process of estimating a fair price for a stock, option or commodity is consider the corner stone for this trade. There are several attempts to obtain a suitable mathematical model in order ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio(John Wiley & Sons, 2020-09-30)
[EN] Random coupled parabolic partial differential models are solved numerically using random cosine Fourier transform together with non-Gaussian random numerical integration that captures the highly oscillatory behaviour ...
Cortés, J.-C.; Jódar Sánchez, Lucas Antonio; Company Rossi, Rafael; Villafuerte, Laura(University of Manitoba - Department of Computer Science, 2015-11)
[EN] In this paper we introduce the Laguerre polynomials as mean square solutions of random differential equations. The study is based on the construction of an infinite random power series solution which becomes a random ...
Torres, Sheila; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(MDPI AG, 2022-05)
[EN] This paper deals with the construction of a discrete dynamic population model addressed
to estimate the expected size of the immigration population in a finite short period of time in
Spain. By paying attention to a ...
Egorova, Vera; Tan, Shih-Hau; Lai, Choi-Hong; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Taylor & Francis, 2017)
[EN] The pricing of American call option with transaction cost is a free boundary
problem. Using a new transformation method the boundary is made to
follow a certain known trajectory in time. The new transformed problem
is ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(MDPI AG, 2020-07)
[EN] In this paper, we propose an integral transform method for the numerical solution of
random mean square parabolic models, that makes manageable the computational complexity due to
the storage of intermediate information ...
Company Rossi, Rafael; García Raffi, Luis Miguel; Pérez Peñalver, María José; Ponsoda Miralles, Enrique; Rodríguez López, Jesús; Romero Vivó, Sergio; Tirado Peláez, Pedro(Instituto de Ciencias de la Educación de la Universidad de Alicante, 2011-11-08)
[ES] En el contexto de los nuevos planes de estudio, los profesores del departamento de Matemática Aplicada de la
ETSICCP de Valencia nos planteamos cómo enfocar las prácticas de informática de las dos asignaturas de
primer ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; Pintos Taronger, José Ramón(ElsevierPergamon, 2011)
[EN] This paper deals with the numerical analysis and computing of a nonlinear model of option pricing appearing in illiquid markets with observable parameters for derivatives. A consistent monotone finite difference scheme ...
Piqueras-García, Miguel Ángel; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Elsevier, 2018)
[EN] This paper deals with the construction, analysis and computation of a numerical
method to solve a moving boundary coupled nonlinear system of parabolic
reaction-diffusion equations, arising in concrete carbonation ...
Casabán, M.-C.; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Elsevier, 2023-01)
[EN] This paper deals with the construction of numerical solutions of moving boundary random problems where the uncertainty is limited to a finite degree of randomness in the mean square framework. Using a front fixing ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(R. Company, J. C. Cortés, L. Jódar and E. López-Navarro, 2019-07-12)
[EN] This work deals with the construction of analytic-numerical solutions, in the mean square
sense of the random heterogeneous telegraph type problem. Efficient methods for solving numerically deterministic problems such ...
Casabán, M.-C.; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(MDPI AG, 2019-09)
[EN] This paper deals with the construction of numerical solutions of random hyperbolic models with a finite degree of randomness that make manageable the computation of its expectation and variance. The approach is based ...
Piqueras García, Miguel Ángel(Universitat Politècnica de València, 2018-09-10)
Multitud de problemas en ciencia e ingeniería se plantean como ecuaciones en derivadas parciales (EDPs). Si la frontera del recinto donde esas ecuaciones han de satisfacerse se desconoce a priori, se habla de "Problemas ...
Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio; Villafuerte Altuzar, Laura; Company Rossi, Rafael(Elsevier, 2011-10)
This paper deals with the construction of a numerical solution of random initial value problems by means of a random improved Euler method. Conditions for the mean square convergence of the proposed method are established. ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(John Wiley & Sons, 2020-09-30)
[EN] This paper deals with the construction of numerical stable solutions of random mean square Fisher-Kolmogorov-Petrosky-Piskunov (Fisher-KPP) models with advection. The construction of the numerical scheme is performed ...
El-Fakharany, Mohamed; Egorova, Vera; Company Rossi, Rafael(Elsevier, 2018)
[EN] In this work a finite difference approach together with a bivariate Gauss¿Hermite
quadrature technique is developed for partial-integro differential equations related to
option pricing problems on two underlying ...
Fakharany, Mohamed; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Elsevier, 2014-12)
[EN] This paper provides a numerical analysis for European options under partial integro-differential
Bates model. An explicit finite difference scheme has been used for the differential
part, while the integral part has ...
Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; El-Fakharany, Mohamed(Hindawi Publishing Corporation, 2013-10)
[EN] This paper deals with the numerical analysis of PIDE option pricing models with CGMY process using double discretization
schemes. This approach assumes weaker hypotheses of the solution on the numerical boundary ...
Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio(MDPI AG, 2021-01)
[EN] In this paper, we consider random hyperbolic partial differential equation (PDE) problems following the mean square approach and Laplace transform technique. Randomness requires not only the computation of the ...