The pricing of American options has been widely acknowledged as “a much more intriguing” problem in financial engineering. In this paper, a “convergency-proved” IFE (inverse finite element) approach is introduced to the field of financial engineering to price American options for the...

Implicit finite difference methods are conventionally preferred over their explicit counterparts for the numerical valuation of options. In large part the reason for this is a severe stability constraint known as the Courant-Friedrichs-Lewy (CFL) condition which limits the latter class's...

This paper develops a Bregman operator splitting algorithm with variable stepsize (BOSVS) for solving problems of the form <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$\min\{\phi(Bu) +1/2\|Au-f\|_{2}^{2}\}$</EquationSource> </InlineEquation>, where ϕ may be nonsmooth. The original Bregman Operator Splitting (BOS) algorithm employed a fixed stepsize, while BOSVS uses a...</equationsource></inlineequation>

In recent years there has been an increasing awareness on problems related to the economic growth and on the conditions under which some socio-economic variables measured on European countries tend to converge over time towards a common level. This paper is concerned with the use of energy from...

The paper lists reasons for participation of the Republic of Belarus in economic integration in the territory of the Former Soviet Union. The author looks at the prospects of convergence in economic and monetary spheres of the CIS member states.

In this paper, we propose a new regularization method based on a finite-dimensional subspace generated from fundamental solutions for solving a Cauchy problem of Laplace's equation in an annular domain. Based on a conditional stability for the Cauchy problem of Laplace's equation, we obtain a...

We report a new parallel iterative algorithm for time-dependent differential equations by combining the known waveform relaxation (WR) technique with the classical parareal algorithm. The parallelism can be simultaneously exploited in both sub-systems by WR and time by parareal. We also provide...

In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...

This paper presents empirical evidence on convergence of per capita output for regions within six large middle-income Latin American countries: Argentina, Brazil, Chile, Colombia, Mexico, and Peru. It explores the role played by several exogenous sectoral shocks and differences in steady states...