Search Results for author: Eric Joseph Hall

Found 2 papers, 1 papers with code

Weak error rates for option pricing under linear rough volatility

1 code implementation2 Sep 2020 Christian Bayer, Eric Joseph Hall, Raúl Tempone

We prove rate $H + 1/2$ for the weak convergence of the Euler method for the rough Stein-Stein model, which treats the volatility as a linear function of the driving fractional Brownian motion, and, surprisingly, we prove rate one for the case of quadratic payoff functions.

Time Series Time Series Analysis

Causality and Bayesian network PDEs for multiscale representations of porous media

no code implementations6 Jan 2019 Kimoon Um, Eric Joseph Hall, Markos A. Katsoulakis, Daniel M. Tartakovsky

The global sensitivity indices are used to rank the effect of uncertainty in microscopic parameters on macroscopic QoIs, to quantify the impact of causality on the multiscale model's predictions, and to provide physical interpretations of these results for hierarchical nanoporous materials.

Cannot find the paper you are looking for? You can Submit a new open access paper.