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 ...

SIAM Journal on Numerical Analysis, Vol. 36, No. 4 (May - Jun., 1999), pp. 1183-1233 (51 pages) We use biorthogonal filter banks to solve hyperbolic PDEs adaptively with a sparse multilevel ...

Many nonlinear option pricing problems can be formulated as optimal control problems, leading to Hamilton–Jacobi–Bellman (HJB) or Hamilton– Jacobi–Bellman–Isaacs (HJBI) equations. We show that such ...

This is a preview. Log in through your library . Abstract We consider the probabilistic numerical scheme for fully nonlinear partial differential equations suggested in [Comm. Pure Appl. Math. 60 ...

Partial differential equations (PDE) describe the behavior of fluids, structures, heat transfer, wave propagation, and other physical phenomena of scientific and engineering interest. This course ...

One of the common classes of equations that is encountered in several branches of science is partial differential equations. So in this article, I look at a software package called FreeFem++ that is ...

Elmer is an open-source multiphysics simulation software that has been around since 1995. It is developed by the CSC — IT Center for Science Ltd. This group is administered by the Ministry of ...