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 ...

Studies properties and solutions of partial differential equations. Covers methods of characteristics, well-posedness, wave, heat and Laplace equations, Green's functions, and related integral ...

Partial differential equations can describe everything from planetary motion to plate tectonics, but they’re notoriously hard to solve. Unless you’re a physicist or an engineer, there really isn’t ...