arXiv subjects

Ning Wan

Publications and source records attributed to Ning Wan.

5 recordsLinked to original sources

arXiv2025

nlKrylov: A Unified Framework for Nonlinear GCR-type Krylov Subspace Methods

In this paper, we introduce a unified framework for nonlinear Krylov subspace methods (\textit{nlKrylov}) to solve systems of nonlinear equations. Building on classical GCR-like/type linear Krylov solvers such as GMRESR, we generalize these approaches to nonlinear problems via nested algorithmic structures. We present rigorous convergence results for problems, relying on relaxed assumptions that avoid the need for exact line searches. The framework is further extended to matrix-valued root finding problems using global nonlinear Krylov approaches. Extensive numerical experiments validate the theoretical insights and demonstrate the robustness and efficiency of our proposed algorithms.

math.NA↗

arXiv2024

On the Convergence of CROP-Anderson Acceleration Method

Anderson Acceleration is a well-established method that allows to speed up or encourage convergence of fixed-point iterations. It has been successfully used in a variety of applications, in particular within the Self-Consistent Field (SCF) iteration method for quantum chemistry and physics computations. In recent years, the Conjugate Residual with OPtimal trial vectors (CROP) algorithm was introduced and shown to have a better performance than the classical Anderson Acceleration with less storage needed. This paper aims to delve into the intricate connections between the classical Anderson Acceleration method and the CROP algorithm. Our objectives include a comprehensive study of their convergence properties, explaining the underlying relationships, and substantiating our findings through some numerical examples. Through this exploration, we contribute valuable insights that can enhance the understanding and application of acceleration methods in practical computations, as well as the developments of new and more efficient acceleration schemes.

math.NA↗

arXiv2014

The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations

The change of numeraire gives very important computational simplification in option pricing. This technique reduces the number of sources of risks that need to be accounted for and so it is useful in pricing complicated derivatives that have several sources of risks. In this article, we considered the underlying mathematical theory of numeraire technique in the viewpoint of PED theory and illustrated it with five concrete pricing problems. In the viewpoint of PED theory, the numeraire technique is a method of reducing the dimension of status spaces where PDE is defined.

q-fin.PR↗

arXiv2014

A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations

We study a method of reducing space dimension in multi-dimensional Black-Scholes partial differential equations as well as in multi-dimensional parabolic equations. We prove that a multiplicative transformation of space variables in the Black-Scholes partial differential equation reserves the form of Black-Scholes partial differential equation and reduces the space dimension. We show that this transformation can reduce the number of sources of risks by two or more in some cases by giving remarks and several examples of financial pricing problems. We also present that the invariance of the form of Black-Scholes equations is based on the invariance of the form of parabolic equation under a change of variables with the linear combination of variables.

q-fin.CP↗

arXiv2013

Analytical Pricing of Defaultable Bond with Stochastic Default Intensity

We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions that 1)expected default recovery is the same with unexpected default recovery; 2) default intensity follows one of 3 special cases of Willmott model; 3) default intensity is uncorrelated with firm value. Then we derived a pricing formula of a credit default swap. And in the case of stochastic short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions that 1) expected default recovery is the same with unexpected default recovery; 2) the short rate follows Vasicek model; 3) default intensity follows one of 3 special cases of Willmott model; 4) default intensity is uncorrelated with firm value; 5) default intensity is uncorrelated with short rate. Then we derived a pricing formula of a credit default swap. We give some credit spread analysis, too.

q-fin.PR↗