[PDF] Top 20 On inverse problems in mathematical finance

... Recovering one-dimensional generalised diffusions from perpetual option prices Given a discount parameter, an objective function and a time-homogeneous diffusion started at a fixed point[r] ... See full document

... In this project, we sought to answer whether or not we could distinguish between independent and dependent parametrizations in mathematical models. Although this study can help in determining independence of ... See full document

... In the presence of model misspecification, we investigated how to use the information provided by pseudo measurement errors to quantify uncertainty in parameter estimators through bootstrapping methods. Numerical results ... See full document

... We study the joint law of Parisian time and hitting time of a drifted Brow- nian motion by using a three-state semi-Markov model, obtained through perturbation. We obtain a martingale, to which we can apply the optional ... See full document

... advanced mathematical modeling and ...interesting mathematical topic, namely inverse problems, in connection with ion ...on problems that arise when we try to determine (“identify”) one ... See full document

... the mathematical idealization, second half, an ideal sensor is conceived with the peculiarity that it is assumed to perfectly interrogate the system output introducing no error or ... See full document

... free-boundary problems, our approach should allow to handle optimal stopping problems with more complicated payoffs than the ones of put and call options, within the general diffusion framework of both ... See full document

... Delay differential equations have been a topic of much interest in the mathematical research literature for more than 50 years. Contributions range from classical applications and theo- retical and computational ... See full document

... an inverse problem a mathematical model for solving the forward problem should ...on mathematical modeling of forward problems is provided ...next. Mathematical models can be broadly ... See full document

... and finance where mathematical models based on systems where either algebraic or differential equations (or both in hybrid models) are often ...associated problems provide significant new challenges ... See full document

... for mathematical models described by systems of nonlinear ordinary differential ...for mathematical model of the spread of TB and HIV co-infection are ... See full document

... addresses mathematical modelling for a hard-field tomography application, in which forward and inverse problems are discussed in detail in terms of the projection modelling and image reconstruction ... See full document

... Closed form semi-analytical formulae for plain vanilla option prices have been derived in [6]. However, these formulae require the evaluation of logarithms with complex arguments during the involved inverse ... See full document

... such problems, forming a rich and exciting field of research that stands at the intersection of signal and image processing, estimation theory, optimization, and applied ...processing problems, tabulated in ... See full document

... of inverse problems which have been regularized by means of a Bayesian ...the inverse problem itself: it is simply necessary that the requisite bounds and approximation properties for the forward ... See full document

... Existence and uniqueness of solutions to an inverse problem for parabolic and pseudo- parabolic equations are studied in [–]. Stability of solutions is investigated by several authors [, ]; but less is known ... See full document

... The passive admixture transport model in the Azov Sea is considered. The problem of cartelistic impulse local source identification at the sea surface based on adjoint method is solving by integration of independent ... See full document

... assertion by the Hahn-Banach theorem guarantees that the difference between two polytopes can be reduced by computing the supporting hyperplane for a given point and a disjoint poly- tope. Since our transformation allows ... See full document

... In the context of groundwater flow, the identification of interfaces between regions associated with different types of geological properties can be posed as the recovery of a piecewise constant conductivity field ... See full document

... solving inverse prob- lems is suggested and ...in problems of modeling and identification of parameters of models in mechanics, engineering, economics, biology and so on, when statistic data is ... See full document