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DISCRETE SOLUTIONS FOR BARRIER OPTIONS
"... A barrier option is an otherwise vanilla call or put option with a strike of X but with an extra parameter B, the barrier: the option only comes into existence (is knocked in) or is terminated (is knocked out) if the spot price crosses the barrier during the life of the option. Because there is a po ..."
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A barrier option is an otherwise vanilla call or put option with a strike of X but with an extra parameter B, the barrier: the option only comes into existence (is knocked in) or is terminated (is knocked out) if the spot price crosses the barrier during the life of the option. Because there is a positive probability (in either case) of worthlessness, these options are cheaper than the corresponding vanilla option, and hence
Numerical Solutions of the Euler Equations by Finite Volume Methods Using RungeKutta TimeStepping Schemes
, 1981
"... A new combination of a finite volume discretization in conjunction with carefully designed dissipative terms of third order, and a Runge Kutta time stepping scheme, is shown to yield an effective method for solving the Euler equations in arbitrary geometric domains. The method has been used to deter ..."
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Cited by 517 (78 self)
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A new combination of a finite volume discretization in conjunction with carefully designed dissipative terms of third order, and a Runge Kutta time stepping scheme, is shown to yield an effective method for solving the Euler equations in arbitrary geometric domains. The method has been used
Finite state Markovchain approximations to univariate and vector autoregressions
 Economics Letters
, 1986
"... The paper develops a procedure for finding a discretevalued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. 1. ..."
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Cited by 493 (0 self)
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The paper develops a procedure for finding a discretevalued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. 1.
An Introduction to the Kalman Filter
 UNIVERSITY OF NORTH CAROLINA AT CHAPEL HILL
, 1995
"... In 1960, R.E. Kalman published his famous paper describing a recursive solution to the discretedata linear filtering problem. Since that time, due in large part to advances in digital computing, the Kalman filter has been the subject of extensive research and application, particularly in the area o ..."
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Cited by 1146 (13 self)
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In 1960, R.E. Kalman published his famous paper describing a recursive solution to the discretedata linear filtering problem. Since that time, due in large part to advances in digital computing, the Kalman filter has been the subject of extensive research and application, particularly in the area
Robust Uncertainty Principles: Exact Signal Reconstruction From Highly Incomplete Frequency Information
, 2006
"... This paper considers the model problem of reconstructing an object from incomplete frequency samples. Consider a discretetime signal and a randomly chosen set of frequencies. Is it possible to reconstruct from the partial knowledge of its Fourier coefficients on the set? A typical result of this pa ..."
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Cited by 2632 (50 self)
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This paper considers the model problem of reconstructing an object from incomplete frequency samples. Consider a discretetime signal and a randomly chosen set of frequencies. Is it possible to reconstruct from the partial knowledge of its Fourier coefficients on the set? A typical result
A Signal Processing Approach To Fair Surface Design
, 1995
"... In this paper we describe a new tool for interactive freeform fair surface design. By generalizing classical discrete Fourier analysis to twodimensional discrete surface signals  functions defined on polyhedral surfaces of arbitrary topology , we reduce the problem of surface smoothing, or fai ..."
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Cited by 654 (15 self)
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In this paper we describe a new tool for interactive freeform fair surface design. By generalizing classical discrete Fourier analysis to twodimensional discrete surface signals  functions defined on polyhedral surfaces of arbitrary topology , we reduce the problem of surface smoothing
Parker Instability: Continuum vs. Discrete Solutions
, 1996
"... Since the pioneering work of Parker (1966), there have been many studies on the stability of a magnetized disk under externally given gravitational fields (Shu 1974; Zweibel & Kulsrud 1975; Foglizzo & Tagger 1994). Most of the studies take a uniform gravitational acceleration for the field, ..."
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uniform gravitational acceleration in the Galactic disk, g(z) ∝ tanh(z/H), and showed that a new family of discrete solutions exists. Here, we consider a linear gravitational acceleration, g(z) = g'z with g' being a constant, and...
Computing Discrete Minimal Surfaces and Their Conjugates
 EXPERIMENTAL MATHEMATICS
, 1993
"... We present a new algorithm to compute stable discrete minimal surfaces bounded by a number of fixed or free boundary curves in R³, S³ and H³. The algorithm makes no restriction on the genus and can handle singular triangulations. For a discrete harmonic map a conjugation process is presented leading ..."
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Cited by 347 (10 self)
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We present a new algorithm to compute stable discrete minimal surfaces bounded by a number of fixed or free boundary curves in R³, S³ and H³. The algorithm makes no restriction on the genus and can handle singular triangulations. For a discrete harmonic map a conjugation process is presented
The BitComplexity Of Discrete Solutions Of Partial Differential Equations: Compact Multigrid
, 1990
"... The topic of partial differential equations (PDEs) is an interesting area where the techniques of discrete mathematics and numerical algorithms can be brought together to solve problems that would normally be considered more properly in the domain of continuous mathematics. We investigate the bitco ..."
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complexity of discrete solutions to linear PDEs, which is a realistic measure for such computers as the Connection Machine CM1 and MASPAR. We show that for a large class of linear PDEs satisfying some routine assumptions of the multigrid methods, the N point discretization of their solution can be compressed to only a
Regularization tools – a matlab package for analysis and solution of discrete illposed problems
 Numerical Algorithms
, 1994
"... The software described in this report was originally published in Numerical Algorithms 6 (1994), pp. 1–35. The current version is published in Numer. Algo. 46 (2007), pp. 189–194, and it is available from www.netlib.org/numeralgo and www.mathworks.com/matlabcentral/fileexchangeContents ..."
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Cited by 287 (8 self)
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The software described in this report was originally published in Numerical Algorithms 6 (1994), pp. 1–35. The current version is published in Numer. Algo. 46 (2007), pp. 189–194, and it is available from www.netlib.org/numeralgo and www.mathworks.com/matlabcentral/fileexchangeContents
Results 1  10
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