Nonstandard Finite Difference Schemes with Application to Finance: Option Pricing

2000 Mathematics Subject Classification: 65M06, 65M12.

Low Volatility Options and Numerical Diffusion of Finite Difference Schemes

2000 Mathematics Subject Classification: 65M06, 65M12.

Detection of Logical-and-Probabilistic Correlation in Time Series

An application of the heterogeneous variables system prediction method to solving the time series analysis problem with respect to the sample size is considered in this work. It is created a logical-and-probabilistic correlation from the logical decision function class. Two ways is considered. When the information about event is kept safe in the process, and when it is kept safe in depending process.

Application of the Multivariate Prediction Method to Time Series

* This work was financially supported by RFBR-04-01-00858.

Extreme Situations Prediction by MultidimenSional Heterogeneous Time Series Using Logical Decision Functions

* The work is supported by RFBR, grant 04-01-00858-a

Application of an Acceleration Scheme

In this paper we propose an optimized algorithm, which is faster compared to previously described finite difference acceleration scheme, namely the Modified Super-Time-Stepping (Modified STS) scheme for age-structured population models with difusion.

Application of an Acceleration Scheme for an Age-Structured Diffusion Model

In this paper we propose an optimized algorithm, which is faster compared to previously described finite difference acceleration scheme, namely the Modified Super-Time-Stepping (Modified STS) scheme for age- structured population models with diffusion.

Second Order Optimality Conditions in Nonsmooth Unconstrained Optimization

AMS subject classification: 49J52, 90C30.

Extraction of Fraud Schemes from Trade Series

2000 Mathematics Subject Classification: 62H30, 62M10, 62M20, 62P20, 94A13.