Risk

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Nature

Partial Differential Equations

Partial Differential Equations (PDEs) are mathematical equations that involve unknown multivariate functions and their partial derivatives. They are the cornerstone of modelling a vast array of ...
Risk

An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives

In this paper, we discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency ...
University of Delaware

Constantin Bacuta

Numerical Methods for PDEs; Finite element methods; Singularly perturbed boundary value problems; Iterative methods; Multigrid methods; Saddle Point Least-Squares for mixed methods; Subspace ...