Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

Higher-order perturbative relativistic corrections to energies and properties

Relativistic effects need to be considered in quantum-chemical calculations on systems including heavy elements or when aiming at high accuracy for molecules containing only lighter elements. In the latter case, consideration of relativistic effects via perturbation theory is an attractive option. Among the available techniques, Direct Perturbation Theory (DPT) in its lowest order (DPT2) has become a standard tool for the calculation of relativistic corrections to energies and properties.In this work, the DPT treatment is extended to the next order (DPT4). It is demonstrated that the DPT4 correction can be obtained as a second derivative of the energy with respect to the relativistic perturbation parameter. Accordingly, differentiation of a suitable Lagrangian, thereby taking into account all constraints on the wave function, provides analytic expressions for the fourth-order energy corrections. The latter have been implemented at the Hartree-Fock level and within second-order Møller-Plesset perturbaton theory using standard analytic second-derivative techniques into the CFOUR program package. For closed-shell systems, the DPT4 corrections consist of higher-order scalar-relativistic effects as well as spin-orbit corrections with the latter appearing here for the first time in the DPT series.Relativistic corrections are reported for energies as well as for first-order electrical properties and compared to results from rigorous four-component benchmark calculations in order to judge the accuracy and convergence of the DPT expansion for both the scalar-relativistic as well as the spin-orbit contributions. Additionally, the importance of relativistic effects to the bromine and iodine quadrupole-coupling tensors is investigated in a joint experimental and theoretical study concerning the rotational spectra of CH2BrF, CHBrF2, and CH2FI.