SIAM Journal on Numerical Analysis, Vol. 46, No. 5 (2008), pp. 2411-2442 (32 pages) This work proposes and analyzes an anisotropic sparse grid stochastic collocation method for solving partial ...

Backward stochastic differential equations (BSDEs) have emerged as a pivotal mathematical tool in the analysis of complex systems across finance, physics and engineering. Their formulation, generally ...

Option pricing and stochastic control methods constitute a vital intersection of quantitative finance and applied mathematics, offering robust frameworks for evaluating derivative securities and ...

This is a preview. Log in through your library . Abstract In this paper, we focus on the stochastic inverse eigenvalue problem of reconstructing a stochastic matrix from the prescribed spectrum. We ...

This paper offers a Bayesian framework for the calibration of financial models using neural stochastic differential equations ...

This course is available on the BSc in Actuarial Science, BSc in Business Mathematics and Statistics and BSc in Mathematics, Statistics and Business. This course is not available as an outside option.

Some expansion methods have been proposed for pricing options approximately in analytical form. One of these is the smart expansion method based on the Malliavin calculus, which is used to price ...

Numerical Continuation and Stationkeeping of Quasi-Periodic Quasi-Satellite Orbits around Phobos Quasi-satellite orbits (QSOs) have been under the research spotlight due to their linear stability and ...

Understanding the properties of different materials is an important step in material design. X-ray absorption spectroscopy ...

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics and BSc in Statistics with Finance. This course is not available ...