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 ...
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 ...
[EN] Reducing mechanical losses in internal combustion engines has been a recurrent research topic over the past few decades. Despite mechanical losses are a key issue that should be carefully addressed to reduce fuel ...
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 ...
Gonzalez Iglesias, Daniel; Gomez, Alvaro; Gimeno Martinez, Benito; Fernández, o.; Vegas, A.; Casas, Fernando; Anza Hormigo, Sergio; Vicente Quiles, Carlos Pascual; Gil Raga, Jordi; Mata Sanz, Rafael; Montero, Isabel; Boria Esbert, Vicente Enrique; Raboso García-Baquero, David(Institute of Electrical and Electronics Engineers (IEEE), 2016-12)
In this paper, the multipactor RF breakdown in a parallel-plate waveguide partially filled with a ferrite slab magnetized normal to the metallic plates is studied. An external magnetic field is applied along the vertical ...
Coz Díaz, J. J. del; Adam Martínez, José Miguel; Lozano Martínez-Luengas, A.; Álvarez Rabanal, F. P.(American Society of Civil Engineers, 2013-02)
This paper presents the analysis of a failure involving the partial collapse of a masonry wall made of precast concrete blocks in an industrial building as a result of the action of the wind. A field survey was carried out ...
Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Vázquez, C.(Elsevier, 2016-08)
[EN] American put option pricing under regime switching is modelled by a system of coupled
partial differential equations. The proposed model combines better the reality of the market
by incorporating the regime switching ...
Piqueras-García, Miguel Ángel; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio(Elsevier, 2018)
[EN] This paper deals with the construction and computation of numerical solutions of a coupled
mixed partial differential equation system arising in concrete carbonation problems. The
moving boundary problem under study ...
Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio(Elsevier, 2018)
[EN] The matter of the stability for multidimensional diffusion-advection-reaction problems treated with the semi-discretization method is remaining challenge because when all the stepsizes tend simultaneously to zero the ...
Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio(Elsevier, 2016-01)
[EN] A new front-fixing transformation is applied to the Black Scholes equation for the American call option pricing problem. The transformed non-linear problem involves homogeneous boundary conditions independent of the ...
Santillán-Haro, Daniel Antonio; Antonino Daviu, Eva; Ferrando Bataller, Miguel; Sánchez-Escuderos, Daniel; Navarro-Méndez, Diana Verónica; Carrera-Suárez, Luis Fernando(Universidad Nacional de Chimborazo, 2018)
[ES] Durante la ultima d ¿ ecada, el tema de la polarizaci ¿ on de la antena atrae gran inter ¿ es. ¿
La mejora de la polarizacion cruzada genera una distribuci ¿ on de un campo altamente ¿
simetrico en la apertura de ...
Gordillo, Francisco(Universitat Politècnica de València, 2009-04-07)
[ES] El comportamiento dinámico de los sistemas no lineales es mucho más rico que el de los lineales y su análisis mucho más complicado. Para el análisis de estabilidad, las técnicas basadas en la teoría de Liapunov tienen ...
Sánchez Viudas, Miguel(Universitat Politècnica de València, 2022-03-14)
[ES] En el presente Trabajo Fin de Máster se ha implementado un modelo numérico, mediante el
trabajo conjunto de los softwares Matlab y Abaqus. Dicho modelo se utilizará para realizar un
estudio paramétrico de las ...
[EN] A simple and reliable finite element model is presented, specifically conceived for the analysis of FRP-reinforced masonry arches. The approach proposed relies on the reduction of mortar joints to interfaces exhibiting ...
Egorova, Vera(Universitat Politècnica de València, 2016-09-01)
[EN] The present PhD thesis is focused on numerical analysis and computing of finite difference schemes for several relevant option pricing models that generalize the Black-Scholes model. A careful analysis of desirable ...
Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Vázquez, Carlos(Elsevier, 2016-10)
[EN] In this paper finite difference methods for pricing American option with rationality parameter are proposed. The irrational exercise policy arising in American options is characterized in terms of a rationality ...
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 ...
Bader, Philipp Karl-Heinz(Universitat Politècnica de València, 2014-07-11)
The celebrated Schrödinger equation is the key to understanding the dynamics of
quantum mechanical particles and comes in a variety of forms. Its numerical solution
poses numerous challenges, some of which are addressed ...
[EN] A numerical analysis for free convection boundary layers along a permeable vertical flat surface with prescribed power-law temperature distribution T w(x) = T¿ + Ax k at y = 0 embedded in a fluid-saturated porous ...
[EN] Previous investigations have highlighted that the current design method in Annex H of EN 1994-1-2 for the calculation of fire resistance of slender concrete-filled steel tubular (CFST) columns was unsafe, which led ...