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Träfflista för sökning "hsv:(NATURVETENSKAP) hsv:(Matematik) hsv:(Annan matematik) ;pers:(Larsson Stig 1952)"

Sökning: hsv:(NATURVETENSKAP) hsv:(Matematik) hsv:(Annan matematik) > Larsson Stig 1952

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  • Enelund, Mikael, 1965, et al. (författare)
  • A computational mathematics education for students of mechanical engineering
  • 2006
  • Ingår i: World Transactions on Engineering and Technology Education. - 1446-2257. ; 5:2, s. 329-332
  • Tidskriftsartikel (refereegranskat)abstract
    • In this article, the authors present a new model for computationally oriented mathematics education. This education combines traditional symbolic mathematics with computational mathematics and programming in the Matlab environment. Engineering applications are explored in computational exercises that are taught jointly with the courses in mechanics and thermodynamics at Chalmers University of Technology in Göteborg, Sweden.
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  • Larsson, Stig, 1952, et al. (författare)
  • Optimal closing of a pair trade with a model containing jumps
  • 2010
  • Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
    • A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Recently, Ekström, Lindberg and Tysk studied the problem of optimally closing a pair trading strategy when the difference of the two assets is modelled by an Ornstein-Uhlenbeck process. In this paper we study the same problem, but the model is generalized to also include jumps. More precisely we assume that the above difference is an Ornstein-Uhlenbeck type process, driven by a Lévy process of finite activity. We prove a verification theorem and analyze a numerical method for the associated free boundary problem. We prove rigorous error estimates, which are used to draw some conclusions from numerical simulations.
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  • Resultat 1-4 av 4

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