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Stability of phase transitions in polymers with bistable unit cells

Shikhovtseva, E.S. - In: Physica A: Statistical Mechanics and its Applications 303 (2002) 1, pp. 133-143

Soliton-like switching regimes are investigated for chains of bistable unit cells with energy non-degenerate ground … states. It is shown that there is a set of equilibrium soliton velocities in the chains of bistable units with complicated … internal structure. There are two essentially different regions of soliton initial velocities, so that the low external …

Persistent link: https://www.econbiz.de/10010873929

Efficient High-Order Numerical Methods for Pricing of Options

Hajipour, Mojtaba; Malek, Alaeddin - In: Computational Economics 45 (2015) 1, pp. 31-47

In this paper we present efficient high-order methods based on weighted essentially non-oscillatory (WENO) technique and backward differencing formula (BDF) to solve the European and American put options of the Black–Scholes equation. In order to achieve high-order convergent and prevent the...

Persistent link: https://www.econbiz.de/10011155120

Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance

Naumann, Uwe; Du Toit, Jacques - In: The journal of computational finance 21 (2017/2018) 4, pp. 23-57

Persistent link: https://www.econbiz.de/10011848395

A boundary value problem for the KdV equation: Comparison of finite-difference and Chebyshev methods

Skogestad, Jan Ole; Kalisch, Henrik - In: Mathematics and Computers in Simulation (MATCOM) 80 (2009) 1, pp. 151-163

Solutions of a boundary value problem for the Korteweg–de Vries equation are approximated numerically using a finite-difference method, and a collocation method based on Chebyshev polynomials. The performance of the two methods is compared using exact solutions that are exponentially small at...

Persistent link: https://www.econbiz.de/10010749929

Effect of stop-loss reinsurance on primary insurer solvency

Constantinescu, Corina; Dias, Alexandra; Li, Bo; Siska, … - In: Risks : open access journal 10 (2022) 10, pp. 1-15

Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary insurer. They further permit the calculation of the...

Persistent link: https://www.econbiz.de/10013556669

Numerical methods for the solution of a human capital model

Sarma, Sisira K. - Society for Computational Economics - SCE - 2001

Two finite-difference methods are constructed and used for the solution of a class of endogenous growth model with physical and human capital. Although both the numerical methods to be developed are implicit by construction, each of the methods can be implemented explicitly. The first method is...

Persistent link: https://www.econbiz.de/10005706728

Barrier option pricing: a hybrid method approach

Wang, Andrew Ming-Long; Liu, Yu-Hong; Hsiao, Yi-Long - In: Quantitative Finance 9 (2009) 3, pp. 341-352

This paper adapts the hybrid method, a combination of the Laplace transformation and the finite-difference approach, to the pricing of barrier-style options. The hybrid method eliminates the time steps and provides a highly accurate and precise numerical solution that can be rapidly obtained....

Persistent link: https://www.econbiz.de/10004982262

Numerical simulation of two-dimensional sine-Gordon solitons via a split cosine scheme

Sheng, Q.; Khaliq, A.Q. M.; Voss, D.A. - In: Mathematics and Computers in Simulation (MATCOM) 68 (2005) 4, pp. 355-373

differential equation allows for soliton-type solutions, a ubiquitous phenomenon in a large variety of physical problems. The …

Persistent link: https://www.econbiz.de/10010749626

Dispersion, group velocity, and multisymplectic discretizations

Schober, C.M.; Wlodarczyk, T.H. - In: Mathematics and Computers in Simulation (MATCOM) 80 (2009) 4, pp. 741-751

This paper examines the dispersive properties of multisymplectic discretizations of linear and nonlinear PDEs. We focus on a leapfrog in space and time scheme and the Preissman box scheme. We find that the numerical dispersion relations are monotonic and determine the relationship between the...

Persistent link: https://www.econbiz.de/10010748727

The variable separated ODE method for travelling wave solutions for the Boussinesq-double sine-Gordon and the Boussinesq-double sinh-Gordon equations

Wazwaz, Abdul-Majid - In: Mathematics and Computers in Simulation (MATCOM) 72 (2006) 1, pp. 1-9

Travelling wave solutions for the Boussinesq-double sine-Gordon (B-sine-Gordon) equation, the Boussinesq-double sinh-Gordon equation (B-sinh-Gordon), and the Boussinesq-Liouville (BL) equation are formally derived. The approach rests mainly on the variable separated ODE method. Distinct sets of...

Persistent link: https://www.econbiz.de/10010749013