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A Probabilistic Digital Twin for Leak Localization in Water Distribution Networks Using Generative Deep Learning.
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- Sensors (14248220), 2023, v. 23, n. 13, p. 6179, doi. 10.3390/s23136179
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- Article
Energy‐consistent formulation of the pressure‐free two‐fluid model.
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- International Journal for Numerical Methods in Fluids, 2023, v. 95, n. 5, p. 869, doi. 10.1002/fld.5168
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- Article
PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO.
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- International Journal of Theoretical & Applied Finance, 2022, v. 25, n. 4/5, p. 1, doi. 10.1142/S0219024922500169
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- Article
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations †.
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- Risks, 2022, v. 10, n. 3, p. 47, doi. 10.3390/risks10030047
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- Article
On a Multigrid Method for Tempered Fractional Diffusion Equations.
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- Fractal & Fractional, 2021, v. 5, n. 4, p. 145, doi. 10.3390/fractalfract5040145
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- Article
Portfolio risk and the quantum majorization of correlation matrices.
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- IMA Journal of Management Mathematics, 2021, v. 32, n. 3, p. 257, doi. 10.1093/imaman/dpaa011
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- Article
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks.
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- Mathematics (2227-7390), 2021, v. 9, n. 1, p. 46, doi. 10.3390/math9010046
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- Article
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS.
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- International Journal of Theoretical & Applied Finance, 2020, v. 23, n. 6, p. N.PAG, doi. 10.1142/S0219024920500387
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- Article
An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA.
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- Journal of Mathematics in Industry, 2020, v. 10, n. 1, p. 1, doi. 10.1186/s13362-020-00073-5
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- Article
A parametric acceleration of multilevel Monte Carlo convergence for nonlinear variably saturated flow.
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- Computational Geosciences, 2020, v. 24, n. 1, p. 311, doi. 10.1007/s10596-019-09922-8
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- Article
A neural network-based framework for financial model calibration.
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- Journal of Mathematics in Industry, 2019, v. 9, n. 1, p. N.PAG, doi. 10.1186/s13362-019-0066-7
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- Article
Pricing Options and Computing Implied Volatilities using Neural Networks.
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- Risks, 2019, v. 7, n. 1, p. 16, doi. 10.3390/risks7010016
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- Article
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II.
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- Risks, 2019, v. 7, n. 1, p. 30, doi. 10.3390/risks7010030
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- Article
Between P and Q: The P<sup>Q</sup> Measure for Pricing in Asset Liability Management.
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- Journal of Risk & Financial Management, 2018, v. 11, n. 4, p. 1, doi. 10.3390/jrfm11040067
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- Article
Uncertainty quantification and Heston model.
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- Journal of Mathematics in Industry, 2018, v. 8, n. 1, p. 1, doi. 10.1186/s13362-018-0047-2
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- Article
On the wavelet-based SWIFT method for backward stochastic differential equations.
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- IMA Journal of Numerical Analysis, 2018, v. 38, n. 2, p. 1051, doi. 10.1093/imanum/drx022
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- Article
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK.
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- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 8, p. -1, doi. 10.1142/S021902491750056X
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- Article
Extending the BEM for Elastic Contact Problems Beyond the Half-Space Approach.
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- Mathematical Modelling & Analysis, 2016, v. 21, n. 1, p. 119, doi. 10.3846/13926292.2016.1138418
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- Article
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS.
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- International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 6, p. -1, doi. 10.1142/S0219024915500429
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- Article
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION.
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- International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 7, p. -1, doi. 10.1142/S0219024914500459
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- Article
Acceleration of option pricing technique on graphics processing units.
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- Concurrency & Computation: Practice & Experience, 2014, v. 26, n. 9, p. 1626, doi. 10.1002/cpe.2825
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- Article
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK.
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- International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 4, p. 1, doi. 10.1142/S0219024914500241
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- Article
A Full Multigrid Method for Linear Complementarity Problems arising from Elastic Normal Contact Problems.
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- Mathematical Modelling & Analysis, 2014, v. 19, n. 2, p. 216, doi. 10.3846/13926292.2014.909899
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- Article
Multigrid with FFT smoother for a simplified 2D frictional contact problem.
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- Numerical Linear Algebra with Applications, 2014, v. 21, n. 2, p. 256, doi. 10.1002/nla.1923
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- Article
Fast solvers for simulation, inversion, and control of wave propagation problems.
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- Numerical Linear Algebra with Applications, 2013, v. 20, n. 4, p. 539, doi. 10.1002/nla.1891
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- Article
A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250016-1, doi. 10.1142/S0219024912500161
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- Article
Preface.
- Published in:
- Numerical Mathematics: Theory, Methods & Applications, 2012, v. 5, n. 1, p. 1
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- Article
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL.
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- International Journal of Theoretical & Applied Finance, 2010, v. 13, n. 7, p. 1019, doi. 10.1142/S0219024910006091
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- Article