Reduced order models in PIDE constrained optimization

MaRDI QIDQ5397343zbMATH OpenFDO

Authors Ekkehard W. Sachs, Matthias Schu

Publication date 20 February 2014

Full work available at URL http://pldml.icm.edu.pl/pldml/element/bwmeta1.element.bwnjournal-article-ccv39i3p661bwm?q=bwmeta1.element.bwnjournal-number-cc-2010-39-3%3b5&qt=CHILDREN-STATELESS

zbMATH Keywords

jump diffusion modelsoption pricingPIDE constrained optimizationproper orthogonal decompositiontrust region method

Mathematics Subject Classification ID

Decomposition methods (49M27) Financial applications of other theories (91G80)

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Cited in

(11)

• Chebyshev interpolation for parametric option pricing
• Reduced order solution of structured linear systems arising in certain PDE-constrained optimization problems
• A certified model reduction approach for robust parameter optimization with PDE constraints
• Gradient-based constrained optimization using a database of linear reduced-order models
• Variational multiscale proper orthogonal decomposition: convection-dominated convection-diffusion-reaction equations
• Gradient computation for model calibration with pointwise observations
• Reduced-order models for the implied variance under local volatility
• Reduced basis methods for pricing options with the Black-Scholes and Heston models
• Adaptive trust-region POD methods in PIDE-constrained optimization
• Constrained Optimal Pade´ Model Reduction
• Magic Points in Finance: Empirical Integration for Parametric Option Pricing

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