Volume 24, Issue 1

The efficient simulation of isotropic Gaussian random fields on the unit sphere is a task encountered frequently in numerical applications. A fast algorithm based on Markov properties and fast Fourier transforms in 1d is presented that generates samples on an n × n {n\times n} grid in O ⁡ ( n 2 ⁢ log ⁡ n ) {\operatorname{O}(n^{2}\log n)} . Furthermore, an efficient method to set up the necessary conditional covariance matrices is derived and simulations demonstrate the performance of the algorithm. An open source implementation of the code has been made available at https://github.com/pec27/smerfs.

In this study we discuss the pricing of weather derivatives whose underlying weather variable is temperature. The dynamics of temperature in this study follows a two state regime switching model with a heteroskedastic mean reverting process as the base regime and a shifted regime defined by Brownian motion with nonzero drift. We develop mathematical formulas for pricing futures and option contracts on heating degree days (HDDs), cooling degree days (CDDs) and cumulative average temperature (CAT) indices. The local volatility nature of the model in the base regime captures very well the dynamics of the underlying process, thus leading to a better pricing processes for temperature derivatives contracts written on various index variables. We use the Monte Carlo simulation method for pricing weather derivatives call option contracts.

Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial mathematics. In this paper, we apply the Heath–Platen (HP) estimator (as first introduced by Heath and Platen in [12]) to price barrier options in the Heston model setting as an alternative to conventional Monte Carlo methods and PDE based methods. We demonstrate the superior performance of the HP estimator via numerical examples and explain this performance by a detailed look at the underlying theoretical concept of the HP estimator.

We suggest a random walk on spheres based stochastic simulation algorithm for solving drift-diffusion-reaction problems with anisotropic diffusion. The diffusion coefficients and the velocity vector vary in space, and the size of the walking spheres is adapted to the local variation of these functions. The method is mesh free and extremely efficient for calculation of fluxes to boundaries and the concentration of the absorbed particles inside the domain. Applications to cathodoluminescence (CL) and electron beam induced current (EBIC) methods for the analysis of dislocations and other defects in semiconductors are discussed.

The paper is devoted to the construction of a probabilistic particle algorithm. This is related to a nonlinear forward Feynman–Kac-type equation, which represents the solution of a nonconservative semilinear parabolic partial differential equation (PDE). Illustrations of the efficiency of the algorithm are provided by numerical experiments.

In this paper, we present a new hybrid algorithm which is a combination of a hybrid Cuckoo search algorithm and Firefly optimization. We focus in this research on a hybrid method combining two heuristic optimization techniques, Cuckoo Search (CS) and Firefly Algorithm (FA) for the global optimization. Denoted as CS-FA. The hybrid CS-FA technique incorporates concepts from CS and FA and creates individuals in a new generation not only by random walk as found in CS but also by mechanisms of FA. To analyze the benefits of hybridization, we have comparatively evaluated the classical Cuckoo Search and Firefly Algorithms versus the proposed hybridized algorithms (CS-FA).