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...

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a suitable length of historical data to estimate contemporary...

Human resources are an essential element in territorial development. When these are characterized by a high level of training, are also enhancers of a number of effects that areas fundamental in the binomial territorial-social cohesion. In this respect, the existence of higher education...

This paper measures the energy efficiency performance with carbon dioxide (CO2) emissions in 30 provinces in China during the period of 1997–2011 using a meta-frontier framework with the improved directional distance function (DDF). We construct a new environmental production possibility set...

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...

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 analyze several new methods for solving nonconvex optimization problems with the objective function consisting of a sum of two terms: one is nonconvex and smooth, and another is convex but simple and its structure is known. Further, we consider both cases: unconstrained and...

In this paper, we propose a robust sequential quadratic programming (SQP) method for nonlinear programming without using any explicit penalty function and filter. The method embeds the modified QP subproblem proposed by Burke and Han (Math Program 43:277–303, <CitationRef CitationID="CR9">1989</CitationRef>) for the search direction,...</citationref>

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>