A technique for calibrating derivative security pricing models: numerical solution of an inverse problem

1997 ◽  
Vol 1 (1) ◽  
pp. 14-25 ◽  
Author(s):  
Ronald Lagnado ◽  
Stanley Osher
Keyword(s):  
Inverse Problem ◽  
Numerical Solution ◽  
Pricing Models ◽  
Security Pricing

On the construction of orthogonal curvilinear grids for regional oceanic modeling: algorithm and user guide

2020 ◽  
Vol 48 (4) ◽  
pp. 45-111
Author(s):  
A. F. Shepetkin
Keyword(s):  
Inverse Problem ◽  
Numerical Solution ◽  
Elliptic Problem ◽  
Software Package ◽  
Conformal Transformation ◽  
Iterative Procedure ◽  
Geometric Shape ◽  
Curvilinear Grids ◽  
Grid Points ◽  
Grid Nodes

A new algorithm for constructing orthogonal curvilinear grids on a sphere for a fairly general geometric shape of the modeling region is implemented as a “compile-once - use forever” software package. It is based on the numerical solution of the inverse problem by an iterative procedure -- finding such distribution of grid points along its perimeter, so that the conformal transformation of the perimeter into a rectangle turns this distribution into uniform one. The iterative procedure itself turns out to be multilevel - i.e. an iterative loop built around another, internal iterative procedure. Thereafter, knowing this distribution, the grid nodes inside the region are obtained solving an elliptic problem. It is shown that it was possible to obtain the exact orthogonality of the perimeter at the corners of the grid, to achieve very small, previously unattainable level of orthogonality errors, as well as make it isotropic -- local distances between grid nodes about both directions are equal to each other.

The Best Perturbation Method for the Parameter Inversion of Two-Dimension Convection-Diffusion Equation

2013 ◽  
Vol 380-384 ◽  
pp. 1143-1146
Author(s):  
Xiang Guo Liu
Keyword(s):  
Inverse Problem ◽  
Diffusion Equation ◽  
Perturbation Method ◽  
Numerical Simulations ◽  
Numerical Solution ◽  
Two Dimensional ◽  
Convection Diffusion ◽  
Convection Diffusion Equation ◽  
Parameter Inversion ◽  
Parametric Inversion

The paper researches the parametric inversion of the two-dimensional convection-diffusion equation by means of best perturbation method, draw a Numerical Solution for such inverse problem. It is shown by numerical simulations that the method is feasible and effective.

NUMERICAL SOLUTION OF THE INVERSE PROBLEM FOR A SYSTEM OF DIFFERENTIAL EQUATIONS

2020 ◽  
pp. 106-110
Author(s):  
S.E. Kasenov ◽  
◽  
G.E. Kasenova ◽  
A.A. Sultangazin ◽  
B.D. Bakytbekova ◽  
...  
Keyword(s):  
Inverse Problem ◽  
Differential Equations ◽  
Numerical Solution ◽  
Direct Problem ◽  
Nonlinear Differential Equations ◽  
Direct And Inverse Problems ◽  
Additional Information ◽  
Several Variables ◽  
Gradient Of The Functional ◽  
Objective Functional

The article considers direct and inverse problems of a system of nonlinear differential equations. Such problems are often found in various fields of science, especially in medicine, chemistry and economics. One of the main methods for solving nonlinear differential equations is the numerical method. The initial direct problem is solved by the Rune-Kutta method with second accuracy and graphs of the numerical solution are shown. The inverse problem of finding the coefficients of a system of nonlinear differential equations with additional information on solving the direct problem is posed. The numerical solution of this inverse problem is reduced to minimizing the objective functional. One of the methods that is applicable to nonsmooth and noisy functionals, unconditional optimization of the functional of several variables, which does not use the gradient of the functional, is the Nelder-Mead method. The article presents the NellerMead algorithm. And also a numerical solution of the inverse problem is shown.

scholarly journals Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

2015 ◽  
Vol 2015 ◽  
pp. 1-10
Author(s):  
M. Fakharany ◽  
R. Company ◽  
L. Jódar
Keyword(s):  
Option Pricing ◽  
Numerical Solution ◽  
Numerical Solutions ◽  
Stable Process ◽  
Integration Formula ◽  
Pricing Models ◽  
Integral Term ◽  
Pricing Problems ◽  
Stability And Consistency ◽  
Partial Integrodifferential Equation

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 is used for the treatment of the unbounded nonlocal integral term. We also introduce in the scheme the Patankar-trick to guarantee unconditional nonnegative numerical solutions. Integration formula of open type is used in order to improve the accuracy of the approximation of the integral part. Stability and consistency are also studied. Illustrative examples are included.

Numerical Solution of the Inverse Problem of Self-Diffusion

2003 ◽  
Vol 30 (5) ◽  
pp. 53-54
Author(s):  
S. M. Usmanov ◽  
E. D. Shakir'yanov ◽  
G. E. Zaikov
Keyword(s):  
Inverse Problem ◽  
Numerical Solution ◽  
Self Diffusion
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