Casabán, M.-C.; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(MDPI AG, 2021)
[EN] This paper deals with the search for reliable efficient finite difference methods for the
numerical solution of random heterogeneous diffusion reaction models with a finite degree of
randomness. Efficiency appeals to ...
Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; El-Fakharany, Mohamed; Casabán Bartual, Mª Consuelo(Hindawi Publishing Corporation, 2013-05)
[EN] This paper deals with the numerical solution of option pricing stochastic volatility model described by a time-dependent, twodimensional
convection-diffusion reaction equation. Firstly, the mixed spatial derivative ...
Company Rossi, Rafael(Universitat Politècnica de València, 2009-03-25)
La resolución de sistemas de ecuaciones diferenciales
de orden superior suele apoyarse en la consideración de un
sistema ampliado de primer orden. Este enfoque clásico
presenta dos inconvenientes. El primero de ellos ...
Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio(Hindawi Publishing Corporation, 2014-04)
[EN] This paper presents an explicit finite-difference method for nonlinear partial differential equation appearing as a transformed Black-Scholes equation for American put option under logarithmic front fixing transformation. ...
El-Fakharany, Mohamed; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Elsevier, 2016-04)
[EN] In this paper, numerical analysis of finite difference schemes for partial integro-differential models related to European and American option pricing problems under a wide class of Lévy models is studied. Apart from ...
Cortés López, Juan Carlos; Jódar Sánchez, Lucas Antonio; Company Rossi, Rafael; Villafuerte Altuzar, Laura(Elsevier, 2011-12)
This paper deals with the construction of approximate solutions of a random logistic differential equation whose nonlinear coefficient is assumed to be an analytic stochastic process and the initial condition is a random ...
Casabán, M.C.; Company Rossi, Rafael; Cortés, J.-C.; Jódar Sánchez, Lucas Antonio(Elsevier, 2014-12-15)
[EN] This paper deals with the construction of an analytic-numerical mean square solution of the random diffusion model in an infinite medium. The well-known Fourier transform method, which is used to solve this problem ...
Piqueras, Miguel A.; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(John Wiley & Sons, 2020-09-30)
[EN] The two-phase Stefan problems with phase formation and depletion are special
cases ofmoving boundary problemswith interest in science and industry. In this
work, we study a solidification problem, introducing a ...
Piqueras-García, Miguel Ángel; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Hindawi Limited, 2019-07-01)
[EN] This paper deals with solving numerically partial integrodifferential equations appearing in biological dynamics models when
nonlocal interaction phenomenon is considered. An explicit finite difference scheme is ...
Casabán Bartual, Mª Consuelo; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(2020-07-10)
[EN] Integral Transform technique is a powerful method for solving random partial differencial equations (RPDEs) in unbounded domains but an alternative is needed in the case of bounded domains. In this case finite difference ...
Fakharany, Mohamed Mostafa Refaat el; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Hindawi Publishing Corporation, 2015)
This paper is concerned with the numerical solution of partial integrodifferential equation for option pricing models under a
tempered stable process known as CGMY model. A double discretization finite difference scheme ...