Japan Journal of Industrial and Applied Mathematics最新文献_第2页

Data-driven confidence bound for structural response using segmented least squares: a mixed-integer programming approach 使用分段最小二乘法的结构响应数据驱动置信度：一种混合整数编程方法

IF 0.9 4区数学

Japan Journal of Industrial and Applied Mathematics Pub Date : 2024-07-02 DOI: 10.1007/s13160-024-00657-3

Yoshihiro Kanno

引用次数: 0

Discrepancy between regulations and practice in initial margin calculation 初始保证金计算方面的法规与实践之间的差异

IF 0.9 4区数学

Japan Journal of Industrial and Applied Mathematics Pub Date : 2024-06-28 DOI: 10.1007/s13160-024-00660-8

Ryosuke Kitani, Hidetoshi Nakagawa

{"title":"Discrepancy between regulations and practice in initial margin calculation","authors":"Ryosuke Kitani, Hidetoshi Nakagawa","doi":"10.1007/s13160-024-00660-8","DOIUrl":"https://doi.org/10.1007/s13160-024-00660-8","url":null,"abstract":"Counterparty risk remains an issue in over-the-counter derivative transactions following the 2008 financial crisis. While the margin for a derivative transaction can only be transferred until just before the counterparty’s default, the exposure of the derivative transaction can vary stochastically during the margin period of risk, that is, the period from the counterparty’s default to the actual closing-out of the transaction. Thus, the anticipated positive exposure may not be recognized, resulting in counterparty risk. Considering it is difficult to calculate the initial margin (IM) according to the regulations, IM has been calculated in practice using a simplified method proposed by the International Swaps and Derivatives Association (ISDA), which is called the ISDA Standard Initial Margin Model (“ISDA SIMM”). In this study, we derive an approximate formula for some counterparty risk indicators for a stochastic volatility model and illustrate numerical analyses for a call option in the SABR model as an example to examine the effect of the discrepancy between regulations and practices in margin calculation. Our results imply that the IM calculated in practice may be insufficient for counterparty risk management, particularly when the market is volatile.","PeriodicalId":50264,"journal":{"name":"Japan Journal of Industrial and Applied Mathematics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141508125","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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

Infinity norm bounds for the inverse of generalized $${SDD_2}$$ matrices with applications 广义 $${SDD_2}$ 矩阵逆的无穷规范边界及其应用

IF 0.9 4区数学

Japan Journal of Industrial and Applied Mathematics Pub Date : 2024-05-23 DOI: 10.1007/s13160-024-00658-2

Qin Li, Wenwen Ran, Fengmei Wang

引用次数: 0

Single-step PMQHSS and new PMQHSS methods for complex symmetric linear systems with strongly dominant skew-Hermitian parts 针对具有强主导偏斜-赫米蒂部分的复杂对称线性系统的单步 PMQHSS 和新 PMQHSS 方法

IF 0.9 4区数学

Japan Journal of Industrial and Applied Mathematics Pub Date : 2024-05-14 DOI: 10.1007/s13160-024-00659-1

Beibei Li, Jingjing Cui, Zhengge Huang, Xiaofeng Xie

引用次数: 0

Coarse-grid operator optimization in multigrid reduction in time for time-dependent Stokes and Oseen problems 针对时间相关斯托克斯和奥森问题的多网格时间缩减中的粗网格算子优化

IF 0.9 4区数学

Japan Journal of Industrial and Applied Mathematics Pub Date : 2024-04-26 DOI: 10.1007/s13160-024-00652-8

Ryo Yoda, Matthias Bolten, Kengo Nakajima, Akihiro Fujii

{"title":"Coarse-grid operator optimization in multigrid reduction in time for time-dependent Stokes and Oseen problems","authors":"Ryo Yoda, Matthias Bolten, Kengo Nakajima, Akihiro Fujii","doi":"10.1007/s13160-024-00652-8","DOIUrl":"https://doi.org/10.1007/s13160-024-00652-8","url":null,"abstract":"Multigrid reduction in time (MGRIT), one of the most popular parallel-in-time approaches, extracts temporal parallelism by constructing coarse grids in the time direction. The coarse-grid operator optimization method for MGRIT has achieved high convergence for one of the hyperbolic problems that had poor convergence performance: the one-dimensional linear advection problems with constant coefficients. This paper applies this optimization method to two-dimensional linear time-dependent Stokes and Oseen problems using the pressure projection and the staggered grid discretization methods. Although the time-stepping operator involves the projection operator, the commutativity in the periodic boundary conditions allows a similar adaptation of the coarse-grid operator optimization for scalar equations. This method can also be applied to Dirichlet boundary problems by modifying the operator obtained based on the assumption of periodic boundary conditions. We demonstrate that MGRIT can achieve reasonable convergence rates for these problems with a practical number of non-zero elements by using the optimization method. Numerical experiments show convergence estimates for periodic boundary problems, applications to Dirichlet boundary problems, and parallel results compared to the sequential time-stepping method.","PeriodicalId":50264,"journal":{"name":"Japan Journal of Industrial and Applied Mathematics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140802650","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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

Computational algorithms for solving optimal control in linear elasticity 解决线性弹性优化控制的计算算法

IF 0.9 4区数学

Japan Journal of Industrial and Applied Mathematics Pub Date : 2024-04-24 DOI: 10.1007/s13160-024-00654-6

Ta Thi Thanh Mai, Nguyen Quang Huy

引用次数: 0

Heat convections in the horizontal layer with non-uniform heat supply 非均匀供热水平层中的热对流

IF 0.9 4区数学

Japan Journal of Industrial and Applied Mathematics Pub Date : 2024-04-20 DOI: 10.1007/s13160-024-00655-5

Hiroshi Fujiwara, Takaaki Nishida

引用次数: 0

Some mathematical properties of the premium function and ruin probability of a generalized Cramér–Lundberg model driven by mixed poisson processes 由混合泊松过程驱动的广义克拉梅尔-伦德伯格模型的溢价函数和毁损概率的一些数学特性

IF 0.9 4区数学

Japan Journal of Industrial and Applied Mathematics Pub Date : 2024-04-12 DOI: 10.1007/s13160-024-00656-4

Masashi Tomita, Koichiro Takaoka, Motokazu Ishizaka

引用次数: 0

Multi-stage Euler–Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains 连续时间马尔可夫链驱动的后向随机微分方程的多阶段欧拉-马鲁山方法

IF 0.9 4区数学

Japan Journal of Industrial and Applied Mathematics Pub Date : 2024-04-04 DOI: 10.1007/s13160-024-00649-3

Akihiro Kaneko

{"title":"Multi-stage Euler–Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains","authors":"Akihiro Kaneko","doi":"10.1007/s13160-024-00649-3","DOIUrl":"https://doi.org/10.1007/s13160-024-00649-3","url":null,"abstract":"Numerical methods for computing the solutions of Markov backward stochastic differential equations (BSDEs) driven by continuous-time Markov chains (CTMCs) are explored. The main contributions of this paper are as follows: (1) we observe that Euler-Maruyama temporal discretization methods for solving Markov BSDEs driven by CTMCs are equivalent to exponential integrators for solving the associated systems of ordinary differential equations (ODEs); (2) we introduce multi-stage Euler–Maruyama methods for effectively solving “stiff” Markov BSDEs driven by CTMCs; these BSDEs typically arise from the spatial discretization of Markov BSDEs driven by Brownian motion; (3) we propose a multilevel spatial discretization method on sparse grids that efficiently approximates high-dimensional Markov BSDEs driven by Brownian motion with a combination of multiple Markov BSDEs driven by CTMCs on grids with different resolutions. We also illustrate the effectiveness of the presented methods with a number of numerical experiments in which we treat nonlinear BSDEs arising from option pricing problems in finance.","PeriodicalId":50264,"journal":{"name":"Japan Journal of Industrial and Applied Mathematics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2024-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140583160","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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

Decentralized distributed parameter tuning model to generate unidirectional movements 生成单向运动的分散分布式参数调整模型

IF 0.9 4区数学

Japan Journal of Industrial and Applied Mathematics Pub Date : 2024-04-04 DOI: 10.1007/s13160-024-00653-7

Takumi Horita, Kei-Ichi Ueda

引用次数: 0