Abstract: A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.
Abstract: In this study, the density dependent nonlinear reactiondiffusion
equation, which arises in the insect dispersal models, is
solved using the combined application of differential quadrature
method(DQM) and implicit Euler method. The polynomial based
DQM is used to discretize the spatial derivatives of the problem. The
resulting time-dependent nonlinear system of ordinary differential
equations(ODE-s) is solved by using implicit Euler method. The
computations are carried out for a Cauchy problem defined by a onedimensional
density dependent nonlinear reaction-diffusion equation
which has an exact solution. The DQM solution is found to be in a
very good agreement with the exact solution in terms of maximum
absolute error. The DQM solution exhibits superior accuracy at large
time levels tending to steady-state. Furthermore, using an implicit
method in the solution procedure leads to stable solutions and larger
time steps could be used.
Abstract: In this paper, He-s homotopy perturbation method (HPM) is applied to spatial one and three spatial dimensional inhomogeneous wave equation Cauchy problems for obtaining exact solutions. HPM is used for analytic handling of these equations. The results reveal that the HPM is a very effective, convenient and quite accurate to such types of partial differential equations (PDEs).
Abstract: Nondestructive testing in engineering is an inverse
Cauchy problem for Laplace equation. In this paper the problem
of nondestructive testing is expressed by a Laplace-s equation with
third-kind boundary conditions. In order to find unknown values on
the boundary, the method of fundamental solution is introduced and
realized. Because of the ill-posedness of studied problems, the TSVD
regularization technique in combination with L-curve criteria and
Generalized Cross Validation criteria is employed. Numerical results
are shown that the TSVD method combined with L-curve criteria is
more efficient than the TSVD method combined with GCV criteria.
The abstract goes here.
Abstract: This research work is concerned with the eigenvalue problem for the integral operators which are obtained by linearization of a nonlocal evolution equation. The purpose of section II.A is to describe the nature of the problem and the objective of the project. The problem is related to the “stable solution" of the evolution equation which is the so-called “instanton" that describe the interface between two stable phases. The analysis of the instanton and its asymptotic behavior are described in section II.C by imposing the Green function and making use of a probability kernel. As a result , a classical Theorem which is important for an instanton is proved. Section III devoted to a study of the integral operators related to interface dynamics which concern the analysis of the Cauchy problem for the evolution equation with initial data close to different phases and different regions of space.