arXiv subjects

M. Briani

Publications and source records attributed to M. Briani.

2 recordsLinked to original sources

arXiv2017

A hybrid tree/finite-difference approach for Heston-Hull-White type models

We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new simulation scheme to be used for Monte Carlo evaluations. Numerical results show the reliability and the efficiency of the proposed methods

q-fin.CP↗

arXiv2014

A non-local rare mutations model for quasispecies and Prisoner's dilemma: numerical assessment of qualitative behaviour

An integro-differential model for evolutionary dynamics with mutations is investigated by improving the understanding of its behavior using numerical simulations. The proposed numerical approach can handle also density dependent fitness, and gives new insights about the role of mutation in the preservation of cooperation.

q-bio.PE↗