an efficient numerical method for pricing interest rate swaptions

... smaller for x  0.5 than for x  0 For the cases with γ1  1/2 we used a smaller value ofΔt and, simultaneously, a larger value of Δx than for the cases with γ1 1 in order to keep the numerical ... the von Neumann stability analysis put forward in 32,34 is suitable for this kind of equation 2 The Numerical Method Henceforth, we will use the notation x j  jΔx, t m  mΔt, and ux j , t ... means of the series expansion described in10,41 truncating the infinite series after the first 50 terms In Figures 1and2we show the analytical and numerical solution for two values of γ1and

Ngày tải lên: 02/11/2022, 08:52

... Trang 1Proposing an efficient implementation method for exponentiation in digital signature scheme on ring Z n Nguyen Dao Truong1*, Le Van Tuan2, Doan Thi Bich Ngoc3, Dang Duc Trinh4 ... design method for the signature scheme based on ring structure Zn Our signature schemes are more secure, generate signatures at a faster rate than that of the ElGamal scheme and its variants ... Dimitrios Poulakis and Robert Rolland “A Digital Signature Scheme based on two hard problems.” https://eprint.iacr.org/2012 [2] Ng, Tiong-Sik, Syh-Yuan Tan, and Ji-Jian Chin “A variant of Schnorr

Ngày tải lên: 09/12/2022, 11:04

... understand and to analyse We derive analytical formule for valuing interest rate derivatives, and we derive numerical methods to approximate the prices of derivatives for which no analytical pricing ... model. Trang 31Spot and Forward Rate Models ẩ Trang 323 Spot and Forward Rate Models The first part of this book is devoted to spot and forward rate models These types of models take instantaneous ... Trang 1Springer Finance | — Antoon Pelsser Trang 2Antoon Pelsser Efficient Methods for Valuing Interest Rate A: Springer | Trang 3Erasmus University Rotterdam, Department of Finance,

Ngày tải lên: 23/03/2018, 09:20

... Trang 1A NEW NUMERICAL METHOD FOR ROTATING SYSTEMS IN ENGINEERING ANALYSIS AND DESIGN SZE PAN PAN DEPARTMENT OF CIVIL ENGINEERING NATIONAL UNIVERSITY OF SINGAPORE 2005 Trang 2A NEW NUMERICAL ... homogeneous disk with uniform thickness and case of uniform speed, the numerical method is more flexible Chen and Ren (1998) used an annular finite element to study for annular plates with variable ... implementation and reliability Trang 251.3 Objectives and Scope This thesis aims to develop an accurate and efficient methodology for the dynamic analysis of disk subjected to transverse load with relative

Ngày tải lên: 16/09/2015, 15:43

... Kwan and Hong [15] initiated a network-based time geography method to formulate destination choice sets, which was expanded by Chen and Kwan [9] into a computational model for multiple fixed and ... state-of-the-art and future directions Transportation Research Part B: Methodological, 57:28–46, 2013 [12] J Gibson The theory of affordances In R Shaw and J Bransford, editors, Perceiving, Acting, and Knowing ... Bhat and F S Koppelman Activity-based modeling of travel demand In Handbook of Transportation Science, chapter 3 1999 [6] A E Cano, A Varga, and F Ciravegna Volatile classification of point of interests

Ngày tải lên: 05/03/2017, 13:20

... nonconservative form, we extend theargument and method in these works to build in this paper a well-balanced numerical scheme for(1.1) and (1.2) We willinvestigate to see whether the method can work well, and ... scheme for the compaction dynamics Eq.(1.2): anþ1 g;j ¼an g;j h un;þs;j an g;jan g;j1 þ un;s;j an g;jþ1an g;j Trang 112 f1ðvn jþ1;Þ  f1ðvn h 2 f2ðw n jþ1Þ  f2ðwn (ii) (Partly well-balanced ... characterized by an equation of state of the form, see[35] ek¼pkþckp1;k whereckand p1;kare constants, k ¼ g; s The system(1.1) and (1.2)has the form of a system of balance laws in nonconservative form A

Ngày tải lên: 16/12/2017, 08:45

... apply to the journal pertain Trang 2 An improved regularization method for initial inverse problem in 2-D heat equation Nguyen Huy Tuan 1,2∗, Tran Thanh Binh 3 Nguyen Dang Minh1, Truong Trong Nghia ... order An improvedregularization method is proposed The error estimates of H¨older type are obtained Some numericaltests illustrate that the proposed method is feasible and effective Keywords and ... quasi-reversibility method andquasi-boundary value method In [32], T Schr¨oter and U Tautenhahn established an optimal errorestimate for the homogeneous case of (1) A mollification method has been

Ngày tải lên: 17/12/2017, 16:43

... =20 and N pop=5 The EM ran 20 times for each instance, and the results are summarized in Table 1 and Table 2 The tables are organized as follows: the first and the second column contain m and ... supported by Serbian Ministry of Education and Science under the grants no 174010 and 174033 Trang 2We would like to stress that the style files and the template should not be manipulated and that the ... approximation algorithms for set splitting and not-all-equal sat", Information Processing Letters, 65 (1998) 305-311 Birbil, S.I., and Fang, S.C, "An electromagnetism-like mechanism for global optimization",

Ngày tải lên: 13/02/2020, 02:21

... catalysts, copper ferrite nanoparticles have been used extensively in organic synthesis and with the outlined strategies, herein, we wish to report an efficient and eco-friendly formylation of structurally ... alcohols perform the formylation reaction faster than benzylic ones Entries 17 and 18 show that protocol of HCO2H/CuFe2O4 is also efficient for formylation of hindered (borneol) and allylic alcohols ... University Trang 74 Experimental 4.1 Materials and Methods All reagents and substrates were purchased from commercial sources and were used without further spectrophotometer and Bruker Avance 300

Ngày tải lên: 27/05/2020, 05:31

... companies (while more established firms rely on other means of financing), credit risk plays an important role in the valuation Trang 7Grimwood and Hodges (2002) further note that the interest rate ... bonds and 2 years of daily market prices as well as associated interest rate curves, credit curves, stock prices, implied Black-Scholes volatilities and recovery rates Trang 5The most important ... risk and an equity part that is free of credit risk A simple description of this model and an easy numerical example in the context of a binomial tree can be found in Hull (2003) Grimwood and

Ngày tải lên: 28/07/2020, 20:47

... forward rate N down to forward rate k The N-th forward rate F N (t) without drift can be determined exactly By the time it takes to calculate the k-th forward rate F k (t), all forward rates from ... the forward rate dynamic under the shifted terminal measure as k k 2)(exp)0()( Trang 7state-This means that an explicit analytic solution to the forward rate stochastic differential equations cannot ... observable quantities The explicit modeling of market forward rates allows for a natural formula for interest rate option volatility that is consistent with the market practice of using the formula

Ngày tải lên: 28/07/2020, 20:47

... significative signal for ligands (2A 1 , 2A 2 , 3B 1 , 3B 2 , 3B 3 , and 4C 1) and their Pd(II) complexes were observed at 5.50–6.40 ppm for N–CH2 proton and at 45.2–68.7 ppm range for N–C H2 carbon ... mmol) for ligand 3B 3, and 1,3,5-tris(bromomethyl)-2,4,6-trimethylbenzene (1.33 g, 3.3 mmol) for ligand 4C 1, respectively, and then heated under reflux for 24 h The volatiles were evaporated ... mmol for complex 5A 1 , 1.0 mmol for complex 5A 2 , 2.0 mmol for complex 6B 1, 2.0 mmol for complex 6B 2 , 2.0 mmol for complex 6B 3 , and 3.0 mmol for complex 7C 1) was added to the ligand solution

Ngày tải lên: 12/01/2022, 23:53

... apinjari@eng.usf.edu July 2009 Trang 2An Efficient Forecasting Procedure for Kuhn-Tucker Consumer Demand Model SystemsABSTRACT This paper proposes an efficient and accurate forecasting algorithm for the MDCEV model ... Bhat, 2006),and (2) utility maximization-based Kuhn-Tucker (KT) demand systems (Hanemann, 1978;discrete-Wales and Woodland, 1983; Kim et al., 2002; von Haefen and Phaneuf, 2005; Bhat, 2005 and 2008) ... (Ahn et al., 2007; Fang, 2008; and Bhat et al., 2008), outdoor recreational demand studies (von Haefen et al., 2004; and von Haefen and Phaneuf, 2005), and grocery purchase analyses (Kim et al.,

Ngày tải lên: 19/10/2022, 03:02

... iterates produced by Broyden's method, and for comparison, Newton's method, are given below For k > 1, (x k )i + (x k ) 2 = 3 for both methods; so only (x k ) 2 is listed below Broyden's Method ... There are many other possible secant updates for nonlinear equations,some of which may hold promise for the future For example, the update is well defined and satisfies (8.4.1) for any for which ... Suppose we transform the variables x and F(x) by where D x and D F are positive diagonal matrices, perform Broyden's update in thenew variable and function space, and then transform back to the

Ngày tải lên: 22/10/2022, 08:00

... Theory and Practice Shanti S Gupta and S Panchapakesan, Multiple Decision Procedures: Theory and Methodology of Selecting and Ranking Populations Eugene L Allgower and Kurt Georg, Introduction to Numerical ... finite-difference Newton method 240 11.2 Sparse secant methods 242 11.3 Deriving least-change secant updates 246 11.4 Analyzing least-change secant methods 257 11.5 Exercises 256 Trang 11A APPENDIX: ... Dennis, Jr and Robert B Schnabel, Numerical Methods for Unconstrained Optimization and Nonlinear Equations Richard E Barlow and Frank Proschan, Mathematica/ Theory of Reliability Cornelius Lanczos,

Ngày tải lên: 22/10/2022, 08:06

... referred to here as the ‘varied impedance’ (VI) method, which can solve the steady-state CDE in one dimension accurately and efficiently[4, 5] The method is particularly efficient when the convection ... ∗Correspondence to: Alan Kennedy, School of Mechanical and Manufacturing Engineering, Dublin City University, Glasnevin, Dublin 9, Ireland. †E-mail: alan.kennedy@dcu.ie Trang 2[4, 5], for determining ... conductors, with distributed resistance, capacitance and inductance R d (x), C d (x), and L d (x), respectively (all per unit length and varying with position, x), and with an additional distributed current

Ngày tải lên: 01/11/2022, 08:31

... boundary knot method can be found by Jin and Zheng [10,11] For the method of fundamental solutions, we can refer to Marin and Lesnic [12] and Wei et al [13] Study on the moment method and boundary ... continuously on the Cauchy data For the stability of this problem, we can refer to [5–7] There are many authors in the literature to investigate this problem, and many numerical methods are proposed In ... Helmholtz representation, for obtaining an approximate solution to the problem, and then we analyze the convergence and stability with a suitable choice of regularization method Numerical experiments

Ngày tải lên: 01/11/2022, 08:31

... 𝑝 Nodes 1 and𝑛 are chosen as the source and target nodes, respectively The link costs, delays, and other QoS metrics are uniform randomly generated integers in the range from 1 to 20 For each ... respectively; “L-instances” are tightly constrained, “H-instances” are loosely constrained, and “M-instances” are in between 5.2 Results and Discussion We generate ten random datasets using Waxman’s model ... Lagrangianizing those constraints, optimizing the resulting Lagrangian function, and then closing the duality gaps by enumerating the near-shortest paths, measured with respect to the Lagrangianized

Ngày tải lên: 02/11/2022, 08:51

... mengurangkan kejituan saluran dijangka Selanjutnya, penganggaran saluran ini kemudian digunakan untuk menguji kesan penganggaran pandu menggunakan teknik penganggaran yang berbeza seperti Ralat Ganda ... kadar data yang tinggi dalam persekitaran bergerak kerana ketahanannya terhadap Gangguan Antara Simbol (ISI) pembangunan penerima cekap dengan teknik penganggaran saluran yang tepat sangat penting ... memudahkan ramalan isyarat yang diterima Pemodulatan terbantu simbol pandu diperkenalkan untuk mencapai penganggaran saluran yang bolehharap melalui penghantaran isyarat pandu bersamasama dengan simbol...

Ngày tải lên: 26/05/2013, 21:28

... 391 (worst) 271 EFFICIENT GENETIC ALGORITHM 31 Table Summary of the first 10 iterations of GA Iter Merge Draft Candidate Fitness Replace 10 and 4 and and and 2 and and and and and and 1-2-3-10-11-12 ... can solve some instances of the p-median problem with reasonable effort A typical approach is to combine Lagrangian relaxation with branch-and-bound (see, for example, (Daskin, 1995)) Galvão and ... Myroon and Strangway, 2000)) Teitz and Bart (1968) presented one of the oldest and most popular heuristic algorithms for this problem It is essentially an exchange heuristic that starts with a random...

Ngày tải lên: 08/08/2013, 08:38