Sökning: "Victor Shcherbakov"

Hittade 2 avhandlingar innehållade orden Victor Shcherbakov.

  1. 1. Localised Radial Basis Function Methods for Partial Differential Equations

    Författare :Victor Shcherbakov; Elisabeth Larsson; Grady B. Wright; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Radial basis function; Partition of unity; Computational finance; Option pricing; Credit default swap; Glaciology; Fluid dynamics; Non-Newtonian flow; Anisotropic RBF; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

    Sammanfattning : Radial basis function methods exhibit several very attractive properties such as a high order convergence of the approximated solution and flexibility to the domain geometry. However the method in its classical formulation becomes impractical for problems with relatively large numbers of degrees of freedom due to the ill-conditioning and dense structure of coefficient matrix. LÄS MER

  3. 2. Radial basis function methods for pricing multi-asset options

    Författare :Victor Shcherbakov; Elisabeth Larsson; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

    Sammanfattning : The price of an option can under some assumptions be determined by the solution of the Black–Scholes partial differential equation. Often options are issued on more than one asset. In this case it turns out that the option price is governed by the multi-dimensional version of the Black–Scholes equation. LÄS MER