Ordinary differential equations (ODEs) and difference equations serve as complementary tools in the mathematical modelling of processes evolving in continuous and discrete time respectively. Together ...

Maxwell's equations form the cornerstone of electromagnetic theory, offering a complete description of how electric and magnetic fields interact with matter. In combination with state‐of‐the‐art ...

Mathematics of Computation, Vol. 86, No. 306 (July 2017), pp. 1579-1608 (30 pages) ...

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 ...

SIAM Journal on Numerical Analysis contains research articles on the development and analysis of numerical methods including their convergence, stability, and error ...

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 ...

In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...

At a quick glance, could you tell the difference between a group of 20 dots and a group of 30? What about 20 and 21? It seems like there must be a point at which you'd simply be guessing, but recent ...