Mathematical approaches for numerically solving partial differential equations. The focus will be (a) iterative solution methods for linear and non-linear equations, (b) spatial discretization and ...

We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...

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 ...

This is a preview. Log in through your library . Abstract A fully discrete finite difference scheme for dissipative Klein-Gordon-Schrödinger equations in three space dimensions is analyzed. On the ...

We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...

Physics and Python stuff. Most of the videos here are either adapted from class lectures or solving physics problems. I really like to use numerical calculations without all the fancy programming ...

Lubrication equations are fourth order degenerate diffusion equations of the form h t + ∇ · (f(h)∇Δ h) = 0, describing thin films or liquid layers driven by surface tension. Recent studies of ...