This course is available on the BSc in Mathematics and Economics, BSc in Mathematics with Data Science, BSc in Mathematics with Economics and BSc in Mathematics, Statistics and Business. This course ...

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 ...

We derive a partial differential equation (PDE) representation for the value of financial derivatives with bilateral counterparty risk and funding costs. The model is very general in that the funding ...

The members of the group Geometric Analysis and Partial Differential Equations have broad interests in analysis and geometry. Active research topics include quasiconformal analysis and partial ...

This monthly journal, begun in 1950, is devoted entirely to research in pure and applied mathematics, principally to the publication of original papers of moderate length. A section called Shorter ...

SIAM Journal on Numerical Analysis, Vol. 46, No. 5 (2008), pp. 2411-2442 (32 pages) This work proposes and analyzes an anisotropic sparse grid stochastic collocation method for solving partial ...

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 ...