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Publications (10 of 58) Show all publications
von Sydow, L., Milovanović, S., Larsson, E., In't Hout, K., Wiktorsson, M., Oosterlee, C. W., . . . Waldén, J. (2019). BENCHOP – SLV: The BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems. International Journal of Computer Mathematics, 96(10), 1910-1923
Open this publication in new window or tab >>BENCHOP – SLV: The BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
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2019 (English)In: International Journal of Computer Mathematics, ISSN 0020-7160, E-ISSN 1029-0265, Vol. 96, no 10, p. 1910-1923Article in journal (Refereed) Published
Abstract [en]

In the recent project BENCHOP – the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging. Here we continue the effort by introducing a set of benchmark problems for this type of problems. Eight different methods targeted for the Stochastic Differential Equation (SDE) formulation and the Partial Differential Equation (PDE) formulation of the problem, as well as Fourier methods making use of the characteristic function, were implemented to solve these problems. Comparisons are made with respect to time to reach a certain error level in the computed solution for the different methods. The implemented Fourier method was superior to all others for the two problems where it was implemented. Generally, methods targeting the PDE formulation of the problem outperformed the methods for the SDE formulation. Among the methods for the PDE formulation the ADI method stood out as the best performing one.

Keywords
Option pricing, stochastic and local volatility, numerical methods, benchmark problem, stochastic differential equation, partial differential equation, characteristic function
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-357218 (URN)10.1080/00207160.2018.1544368 (DOI)000475440700002 ()
Projects
eSSENCE
Funder
Swedish National Infrastructure for Computing (SNIC), SNIC 2017/1-236
Available from: 2018-11-07 Created: 2018-08-14 Last updated: 2019-08-22Bibliographically approved
Larsson, E., Zafari, A., Righero, M., Francavilla, M. A., Giordanengo, G., Vipiana, F., . . . Grelck, C. (2019). Parallelization of hierarchical matrix algorithms for electromagnetic scattering problems. In: High-Performance Modelling and Simulation for Big Data Applications: (pp. 36-68). Springer
Open this publication in new window or tab >>Parallelization of hierarchical matrix algorithms for electromagnetic scattering problems
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2019 (English)In: High-Performance Modelling and Simulation for Big Data Applications, Springer, 2019, p. 36-68Chapter in book (Refereed)
Place, publisher, year, edition, pages
Springer, 2019
National Category
Computer Sciences Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-338833 (URN)10.1007/978-3-030-16272-6_2 (DOI)978-3-030-16271-9 (ISBN)
Projects
eSSENCE
Available from: 2019-03-26 Created: 2018-01-14 Last updated: 2019-03-29Bibliographically approved
Rached, I. & Larsson, E. (2019). Tail distribution and extreme quantile estimation using non-parametric approaches. In: High-Performance Modelling and Simulation for Big Data Applications: (pp. 69-87). Springer
Open this publication in new window or tab >>Tail distribution and extreme quantile estimation using non-parametric approaches
2019 (English)In: High-Performance Modelling and Simulation for Big Data Applications, Springer, 2019, p. 69-87Chapter in book (Refereed)
Place, publisher, year, edition, pages
Springer, 2019
National Category
Computer Sciences Probability Theory and Statistics
Identifiers
urn:nbn:se:uu:diva-380620 (URN)10.1007/978-3-030-16272-6_3 (DOI)978-3-030-16271-9 (ISBN)
Projects
eSSENCE
Available from: 2019-03-26 Created: 2019-03-29 Last updated: 2019-03-29Bibliographically approved
Grelck, C., Niewiadomska-Szynkiewicz, E., Aldinucci, M., Bracciali, A. & Larsson, E. (2019). Why high-performance modelling and simulation for big data applications matters. In: High-Performance Modelling and Simulation for Big Data Applications: (pp. 1-35). Springer
Open this publication in new window or tab >>Why high-performance modelling and simulation for big data applications matters
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2019 (English)In: High-Performance Modelling and Simulation for Big Data Applications, Springer, 2019, p. 1-35Chapter in book (Refereed)
Place, publisher, year, edition, pages
Springer, 2019
National Category
Computer and Information Sciences
Identifiers
urn:nbn:se:uu:diva-380617 (URN)10.1007/978-3-030-16272-6_1 (DOI)978-3-030-16271-9 (ISBN)
Projects
eSSENCE
Available from: 2019-03-26 Created: 2019-03-29 Last updated: 2019-03-29Bibliographically approved
Zafari, A. & Larsson, E. (2018). Distributed dynamic load balancing for task parallel programming. Computing Research Repository (1801.04582)
Open this publication in new window or tab >>Distributed dynamic load balancing for task parallel programming
2018 (English)In: Computing Research Repository, no 1801.04582Article in journal (Other academic) Submitted
National Category
Computer Sciences
Identifiers
urn:nbn:se:uu:diva-338835 (URN)
Projects
UPMARCeSSENCE
Available from: 2018-01-14 Created: 2018-01-14 Last updated: 2018-04-18Bibliographically approved
Zafari, A., Larsson, E. & Tillenius, M. (2018). DuctTeip: An efficient programming model for distributed task based parallel computing. Computing Research Repository (1801.03578)
Open this publication in new window or tab >>DuctTeip: An efficient programming model for distributed task based parallel computing
2018 (English)In: Computing Research Repository, no 1801.03578Article in journal (Other academic) Submitted
National Category
Software Engineering
Identifiers
urn:nbn:se:uu:diva-338832 (URN)
Projects
UPMARCeSSENCE
Available from: 2018-01-10 Created: 2018-01-14 Last updated: 2018-04-18Bibliographically approved
Amani Rad, J., Höök, J., Larsson, E. & von Sydow, L. (2018). Forward deterministic pricing of options using Gaussian radial basis functions. Journal of Computational Science, 24, 209-217
Open this publication in new window or tab >>Forward deterministic pricing of options using Gaussian radial basis functions
2018 (English)In: Journal of Computational Science, ISSN 1877-7503, E-ISSN 1877-7511, Vol. 24, p. 209-217Article in journal (Refereed) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-323003 (URN)10.1016/j.jocs.2017.05.016 (DOI)000426412200021 ()
Projects
eSSENCE
Available from: 2017-05-25 Created: 2017-06-01 Last updated: 2018-05-17Bibliographically approved
Safdari-Vaighani, A., Larsson, E. & Heryudono, A. (2018). Radial basis function methods for the Rosenau equation and other higher order PDEs. Journal of Scientific Computing, 75, 1555-1580
Open this publication in new window or tab >>Radial basis function methods for the Rosenau equation and other higher order PDEs
2018 (English)In: Journal of Scientific Computing, ISSN 0885-7474, E-ISSN 1573-7691, Vol. 75, p. 1555-1580Article in journal (Refereed) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-334532 (URN)10.1007/s10915-017-0598-1 (DOI)000431399600014 ()
Projects
eSSENCE
Available from: 2017-11-15 Created: 2017-11-23 Last updated: 2018-07-27Bibliographically approved
Larsson, E., Shcherbakov, V. & Heryudono, A. (2017). A least squares radial basis function partition of unity method for solving PDEs. SIAM Journal on Scientific Computing, 39, A2538-A2563
Open this publication in new window or tab >>A least squares radial basis function partition of unity method for solving PDEs
2017 (English)In: SIAM Journal on Scientific Computing, ISSN 1064-8275, E-ISSN 1095-7197, Vol. 39, p. A2538-A2563Article in journal (Refereed) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-316488 (URN)10.1137/17M1118087 (DOI)000418659900017 ()
Projects
eSSENCE
Available from: 2017-11-09 Created: 2017-03-01 Last updated: 2018-06-16Bibliographically approved
Larsson, E. (2017). Book Review: A Primer on Radial Basis Functions with Applications to the Geosciences [Review]. SIAM Review, 59, 688-689
Open this publication in new window or tab >>Book Review: A Primer on Radial Basis Functions with Applications to the Geosciences
2017 (English)In: SIAM Review, ISSN 0036-1445, E-ISSN 1095-7200, Vol. 59, p. 688-689Article, book review (Other academic) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-331853 (URN)10.1137/17N974409 (DOI)
Available from: 2017-08-08 Created: 2017-10-18 Last updated: 2017-10-18Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0003-1154-9587

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