Finite element methods (FEM) have emerged as a versatile and robust framework for the numerical simulation of evolving partial differential equations (PDEs). These methods discretise complex ...

This is a preview. Log in through your library . Abstract In a recent paper, Gourlay (in Advances in Computer Methods for Partial Differential Equations II, IMACS, 1977) has considered several block ...

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

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 ...

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

In this paper, a partial differential equation model for the pricing of pension plans based on average salary is posed by using the dynamic hedging methodology. The existence and uniqueness of ...

The mere attendance of the lecture is valued at 2 CP. If the tutorials are completed as well (> 70 %), 3 CP are awarded. For this, the solutions to the problems must be handed in before the next ...

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 ...

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 ...