1 resultado para stochastic local volatility model leverage surface Dupire formula for local volatility Gyöngy theorem nonlinear partial integro-differential Kolmogorov equation finite difference method

em Instituto Politécnico do Porto, Portugal


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Solving systems of nonlinear equations is a very important task since the problems emerge mostly through the mathematical modelling of real problems that arise naturally in many branches of engineering and in the physical sciences. The problem can be naturally reformulated as a global optimization problem. In this paper, we show that a self-adaptive combination of a metaheuristic with a classical local search method is able to converge to some difficult problems that are not solved by Newton-type methods.