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.

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.

We give a complete characterization of bipartite graphs having tree-like Galois lattices. We prove that the poset obtained by deleting bottom and top elements from the Galois lattice of a bipartite graph is tree-like if and only if the graph is a bipartite distance hereditary graph. Relations with the class of Ptolemaic graphs are discussed and exploited to give an alternative proof of the result. (C) 2015 Elsevier B.V. All rights reserved.

In this paper we consider the final distribution of fuel oil from a storage depot to a set of petrol stations faced by an oil company, which has to decide the weekly replenishment plan for each station, and determine petrol station visiting sequences (vehicle routes) for each day of the week, assuming a fleet of homogeneous vehicles (tankers). The aim is to minimize the total distance travelled by tankers during the week, while loading tankers possibly near to their capacity in order to maximize the resource utilization.

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.

Intervista alla figlia di Beppo Levi (Emilia Resta) in occasione dei 140 anni dalla sua nascita. Nel breve articolo di presentazione viene anche ricordato il fratello di Beppo Levi, Eugenio Elia noto e geniale matematico che ebbe breve vita immolata al fronte durante la Grande Guerra. All'interno dell'articolo viene anche riproposto e riprodotto un lungo e polemico scritto di Beppo Levi, inviato e apparso sotto forma di lettera sul periodico Israel del 30 giugno 1918, che verte sulla nascita dello stato ebraico in Palestina.

Bioventing is a clean-up technology essentially used to remove hydrocarboon from polluted subsoil by the action of microorganism. The model is based on the theory of fluid flows in porous media and on the mathematical description of population dynamics. The numerical results of a simplified model will be described.

MUSCL extensions (Monotone Upstream-centered Schemes for Conservation Laws) of the Godunov numerical scheme for scalar conservation laws are shown to admit a rather simple reformulation when recast in the formalism of the Haar multi-resolution analysis of L²(R). By pursuing this wavelet reformulation, a seemingly new MUSCL-WB scheme is derived for advection-reaction equations which is stable for a Courant number up to 1 (instead of roughly 1/2 ).