Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical approximation of these equations ...
We study the finite element method for stochastic parabolic partial differential equations driven by nuclear or space-time white noise in the multidimensional case. The discretization with respect to ...
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, 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 ...
The purpose of this study is the design of efficient methods for the solution of an ordinary differential system of equations arising from the semidiscretization of a hyperbolic partial differential ...
Course on using spectral methods to solve partial differential equations. We will cover the exponential convergence of spectral methods for periodic and non-periodic problem, and a general framework ...
Computational and applied mathematicians model phenomena from a wide variety of science and engineering disciplines and design computer algorithms to solve the resulting mathematical problems. Faculty ...
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 ...
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