The Parthenon

Saving ‘Art’: Marshall’s one-of-a-kind math machine

In Huntington’s small community, tucked in a corner classroom of Smith Hall sits a unique piece of math history. Marshall ...
JSTOR Daily

A method for calculating differential constitutive equation of linear viscoelastic composite model

The stress–strain behaviors of viscoelastic materials are often simulated using a model composed of various combinations of springs and dampers. With the increase in the number of springs and dampers, ...
Risk

A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model

In this paper, we consider the valuation of European and path-dependent options in foreign exchange markets when the currency exchange rate evolves according to the Heston model combined with the ...
Risk

Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model

Accounting for default risk in the valuation of financial derivatives has become increasingly important, especially since the 2007–8 financial crisis. Under some assumptions, the valuation of ...