Risk

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Nature

Partial Differential Equations

Partial Differential Equations (PDEs) are mathematical equations that involve unknown multivariate functions and their partial derivatives. They are the cornerstone of modelling a vast array of ...
Risk

An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives

In this paper, we discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency ...
CU Boulder News & Events

Data-Driven Equation Discovery

Governing equations in the form of ordinary and partial differential equations are valuable models for physical systems. However they can be difficult to derive, making them unknown, particularly for ...
University of Delaware

Constantin Bacuta

Numerical Methods for PDEs; Finite element methods; Singularly perturbed boundary value problems; Iterative methods; Multigrid methods; Saddle Point Least-Squares for mixed methods; Subspace ...