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On a class of semi-elliptic diffusion models. Part I: a constructive analytical approach for global existence, densities, and numerical schemes (with applications to the Libor market model)
Degenerate parabolic equations financial derivatives sen-sitivities Monte-Carlo methods
2010/4/27
Computational parsimony makes reduced factor Libor market models popular among practioners. However, value functions and sensitivities of such models are described by degenerate parabolic (i.e. semiel...
An Analytical Approach to Thermal and Electrical Transport in a
Mesoscopic Conductor
mesoscopic conductor thermal and electrical transport
2007/8/15
2005Vol.44No.4pp.735-742DOI:
An Analytical Approach to Thermal and Electrical Transport in a
Mesoscopic Conductor
WANG Zheng-Chuan,1 SU Gang,1 LI Ling,2 and GAO Jie2
1 ...
An Analytical Approach on Mesoscopic Transport Involving with
Electron-Electron Interaction
mesoscopic transport electron-electron interaction
2007/8/15
2005Vol.43No.3pp.539-546DOI:
An Analytical Approach on Mesoscopic Transport Involving with
Electron-Electron Interaction
WANG Zheng-Chuan,1 SU Gang,1 LI Ling,2 and GAO Jie2
...