Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps. In this talk, we consider the numerical approximation of such models. On one hand, due to the non-local nature of the integral term, we propose to use Implicit-Explicit (IMEX) Runge-Kutta methods for the time integration to solve the integral term explicitly, giving higher order accuracy schemes under weak stability time-step restrictions.

A {0, 1}-matrix A is balanced if it does not contain a submatrix of odd order having exactly two 1's per row and per column. A graph is balanced if its clique-matrix is balanced. No characterization of minimally unbalanced graphs is known, and even no conjecture on the structure of such graphs has been posed, contrary to what happened for perfect graphs. In this paper, we provide such a characterization for the class of diamond-free graphs and establish a connection between minimally unbalanced diamond-free graphs and Dyck-paths.

In this work we proposed an integrated support system combining a meta-heuristic algorithm and a multicriteria decision analysis method to solve an orienteering problem applied to car-pooling system. For this purpose a Genetic Algorithm (GA), an Analytical Hierarchy Process (AHP) are implemented. The research is based on the awareness that decision makers (DMs) often face situations in which different conflicting viewpoints (goals or criteria) are to be considered. Current car-pooling web platforms are focused on the exchange of information among potential users and drivers.

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.

We present a new approach to find accurate solutions to the Poisson equation, as obtained from the steady-state limit of a diffusion equation with strong source terms. For this purpose, we start from Boltzmann's kinetic theory and investigate the influence of higher-order terms on the resulting macroscopic equations.

A two-phasemathematical model describing the dynamics of a substance between two coupled media of different properties and dimensions is presented. A system of partial differential equations describes the diffusion and the binding/unbinding processes in both layers. Additional flux continuity at the interface and clearance conditions into systemic circulation are imposed. An eigenvalue problem with discontinuous coefficients is solved and an analytical solution is given in the form of an infinite series expansion.