Journal of Computational and Applied Mathematics最新文献_第4页

Bilevel robust optimization approach for multi-period sparse portfolio selection 多周期稀疏投资组合的双层鲁棒优化方法

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2025-05-03 DOI: 10.1016/j.cam.2025.116729

Serena Crisci , Valentina De Simone , Monica Pragliola , Gerardo Toraldo

引用次数: 0

A neural network-based method for pricing American options and assessing implied volatility under uncertainty 基于神经网络的不确定条件下美式期权定价及隐含波动率评估方法

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2025-05-02 DOI: 10.1016/j.cam.2025.116719

Jinwu Gao , Haomiao Hu , Farshid Mehrdoust , Idin Noorani

{"title":"A neural network-based method for pricing American options and assessing implied volatility under uncertainty","authors":"Jinwu Gao , Haomiao Hu , Farshid Mehrdoust , Idin Noorani","doi":"10.1016/j.cam.2025.116719","DOIUrl":"10.1016/j.cam.2025.116719","url":null,"abstract":"<div><div>American option pricing serves as a foundational concept in modern finance and investors commonly embrace this financial derivative for its advantageous flexibility in terms of exercise timing. Within the uncertainty theory literature, the calibration of the American option pricing model has not been explored to facilitate a meaningful comparison between the model-driven option prices and those observed in the market. This study aims to fill this gap by considering the asset price dynamic as some common uncertain models, such as the geometric Liu (GL) process, uncertain mean-reverting (UMR) process, and uncertain exponential mean-reverting (UEMR) process. This paper presents a novel hybrid method to calibrate the American option pricing model based on the uncertain option pricing model and artificial neural network (ANN). The proposed hybrid structure retains the unknown parameters involved in uncertain model while incorporating neural network techniques to improve accuracy in real market applications. Given that the realization of volatility smiles can help investors identify mispriced options and make more informed investment decisions, this study undertakes the first evaluation of the volatility smile for American options in the uncertain environment using an ANN. Empirical studies on the SPY market show that uncertain models equipped with the ANN, when compared to the common option pricing models, provide more accurate evaluations of American option prices and their volatility smile.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":"470 ","pages":"Article 116719"},"PeriodicalIF":2.1,"publicationDate":"2025-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143904097","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Activation functions enabling the addition of neurons and layers without altering outcomes 激活功能可以在不改变结果的情况下增加神经元和层

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2025-05-01 DOI: 10.1016/j.cam.2025.116730

Sergio López-Ureña

引用次数: 0

Mesh-informed Reduced Order Models for aneurysm rupture risk prediction 用于动脉瘤破裂风险预测的网格化降阶模型

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2025-04-30 DOI: 10.1016/j.cam.2025.116727

Giuseppe Alessio D’Inverno , Saeid Moradizadeh , Sajad Salavatidezfouli , Pasquale Claudio Africa , Gianluigi Rozza

{"title":"Mesh-informed Reduced Order Models for aneurysm rupture risk prediction","authors":"Giuseppe Alessio D’Inverno , Saeid Moradizadeh , Sajad Salavatidezfouli , Pasquale Claudio Africa , Gianluigi Rozza","doi":"10.1016/j.cam.2025.116727","DOIUrl":"10.1016/j.cam.2025.116727","url":null,"abstract":"<div><div>The complexity of the cardiovascular system needs to be accurately reproduced in order to promptly acknowledge health conditions; to this aim, advanced multifidelity and multiphysics numerical models are crucial. On one side, Full Order Models (FOMs) deliver accurate hemodynamic assessments, but their high computational demands hinder their real-time clinical application. In contrast, Reduced Order Models (ROMs) provide more efficient yet accurate solutions, essential for personalized healthcare and timely clinical decision-making. In this work, we explore the application of computational fluid dynamics (CFD) in cardiovascular medicine by integrating FOMs with ROMs for predicting the risk of aortic aneurysm growth and rupture. Wall Shear Stress (WSS) and the Oscillatory Shear Index (OSI), sampled at different growth stages of the thoracic aortic aneurysm, are predicted by means of Graph Neural Networks (GNNs). GNNs exploit the natural graph structure of the mesh obtained by the Finite Volume (FV) discretization, taking into account the spatial local information, regardless of the dimension of the input graph. Our experimental validation framework yields promising results, confirming our method as a valid alternative that overcomes the curse of dimensionality.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":"470 ","pages":"Article 116727"},"PeriodicalIF":2.1,"publicationDate":"2025-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143894906","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

An efficient numerical method for 1D singularly perturbed parabolic convection–diffusion systems with repulsive interior turning points 具有排斥性内拐点的一维奇异摄动抛物对流扩散系统的有效数值方法

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2025-04-29 DOI: 10.1016/j.cam.2025.116728

Carmelo Clavero , Juan Carlos Jorge

{"title":"An efficient numerical method for 1D singularly perturbed parabolic convection–diffusion systems with repulsive interior turning points","authors":"Carmelo Clavero , Juan Carlos Jorge","doi":"10.1016/j.cam.2025.116728","DOIUrl":"10.1016/j.cam.2025.116728","url":null,"abstract":"<div><div>In this work, we propose and study a numerical method to solve efficiently one-dimensional parabolic singularly perturbed systems of convection–diffusion type, for which the convection coefficient is zero at an interior point of the spatial domain. We focus our attention on the case of having the same diffusion parameter in both equations; as well we assume adequate signs on the convective coefficients in order to the interior turning point is of repulsive type. Under these conditions, if the data of the problem are composed by continuous functions, the exact evolutionary solution, in general, has regular boundary layers at the end points of the spatial domain. To solve this type of problems, we combine the fractional implicit Euler method and the classical upwind scheme, defined on a special mesh of Shishkin type. The resulting numerical method reach uniform convergence of first order in time and almost first order in space. Numerical results obtained for different test problems are shown which corroborate in practice the uniform convergence of the numerical algorithm and also their computational efficiency in comparison with classical numerical methods used for the same type of problems.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":"470 ","pages":"Article 116728"},"PeriodicalIF":2.1,"publicationDate":"2025-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143894907","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Implicit Schwarz domain decomposition method for a Rayleigh–Bénard problem rayleigh - bassaard问题的隐式Schwarz域分解方法

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2025-04-28 DOI: 10.1016/j.cam.2025.116718

D. Martínez, H. Herrero, F. Pla

{"title":"Implicit Schwarz domain decomposition method for a Rayleigh–Bénard problem","authors":"D. Martínez, H. Herrero, F. Pla","doi":"10.1016/j.cam.2025.116718","DOIUrl":"10.1016/j.cam.2025.116718","url":null,"abstract":"<div><div>This paper introduces an implicit Schwarz domain decomposition (SDD) method for solving the Rayleigh–Bénard convection problem. The motivation behind this work is to develop an alternative algorithm that eliminates the stagnation error observed in the alternating Schwarz domain decomposition method while enhancing information transmission across subdomain interfaces. A key question explored is whether the implicit SDD method is comparable to the alternating approach and whether it provides a real improvement in terms of efficiency and accuracy. The study focuses on establishing a theoretical proof of convergence for the implicit SDD method combined with Legendre collocation, ensuring its suitability for the Rayleigh–Bénard problem. Additionally, efforts are made to optimize computational cost, making the algorithm more practical for large-scale simulations. Numerical validation is carried out to assess its performance and confirm its advantages. Unlike the alternating approach, which requires solving multiple systems per time step, the implicit method solves a single system, potentially improving convergence speed. Theoretical analysis and numerical experiments demonstrate that this approach effectively improves the accuracy and reduces computational effort, particularly in the case of asymmetric domain decompositions.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":"470 ","pages":"Article 116718"},"PeriodicalIF":2.1,"publicationDate":"2025-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143906765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Common fixed point theorems for discontinuous mappings in M-metric space and numerical approximations m -度量空间中不连续映射的公共不动点定理及数值逼近

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2025-04-28 DOI: 10.1016/j.cam.2025.116720

Kapil Yadav, Deepak Kumar

{"title":"Common fixed point theorems for discontinuous mappings in M-metric space and numerical approximations","authors":"Kapil Yadav, Deepak Kumar","doi":"10.1016/j.cam.2025.116720","DOIUrl":"10.1016/j.cam.2025.116720","url":null,"abstract":"<div><div>Generalized metric spaces have emerged as efficient extensions to the traditional metric space and provided novel insights into the generalized fixed point results. In this manuscript, we present a novel approach for fixed point results within the framework of <span><math><mi>M</mi></math></span>-metric space, characterized by the contraction mappings. The condition of continuity of these Banach contraction mappings is not essential in this structure, as it is in the usual metric space. We identify the scenarios in which traditional contraction mappings in metric space do not hold. But their extended versions within <span><math><mi>M</mi></math></span>-metric space establish the desired results. Additionally, we study the behavior of contraction mappings graphically in both metric space and <span><math><mi>M</mi></math></span>-metric space to highlight the difference and importance of <span><math><mi>M</mi></math></span>-metric space. Further, some results on the existence of common fixed points for pairs of self-mappings in incomplete space are established. Also, we discuss the result on the existence of a common fixed point for three self-mappings (not necessarily continuous), which is an extension of the work of Petrov (2023). To support our findings, various examples are discussed and some numerical iterations with the graphs for approximating the common fixed point are presented.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":"470 ","pages":"Article 116720"},"PeriodicalIF":2.1,"publicationDate":"2025-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143899282","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A generalized complex power iteration-based algorithm for quartic–quadratic optimization problems over a spherical constraint and its applications 球面约束下四次二次优化问题的广义复幂迭代算法及其应用

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2025-04-26 DOI: 10.1016/j.cam.2025.116716

Jie Tang , Zhou Sheng , Xin Li

引用次数: 0

Subsampling for tensor least squares: Optimization and statistical perspectives 张量最小二乘的子采样：优化和统计观点

IF 2.1 2区数学

Journal of Computational and Applied Mathematics Pub Date : 2025-04-24 DOI: 10.1016/j.cam.2025.116694

Ling Tang , Hanyu Li

引用次数: 0

A nodally bound-preserving discontinuous Galerkin method for the drift–diffusion equation 漂移扩散方程的节点保界不连续Galerkin方法