Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical ...

In this paper, we discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency ...

Linearization methods have been used in the numerical analysis of finite element solutions to nonlinear partial differential equations (PDEs) for quite a long time. Frequently, essential properties ...

Accounting for default risk in the valuation of financial derivatives has become increasingly important, especially since the 2007–8 financial crisis. Under some assumptions, the valuation of ...

This is a preview. Log in through your library . Abstract Spline collocation methods are proposed for the spatial discretization of a class of hyperbolic partial ...

Covers finite difference, finite element, finite volume, pseudo-spectral, and spectral methods for elliptic, parabolic, and hyperbolic partial differential equations. Prereq., APPM 5600. Recommended ...

Introductory course on using a range of finite-difference methods to solve initial-value and initial-boundary-value problems involving partial differential equations. The course covers theoretical ...

This course introduces high-performance computing (“HPC”) systems, software, and methods used to solve large-scale problems in science and engineering. It will focus on the intersection of two ...