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 ...

This is a preview. Log in through your library . Abstract A new method, combining complex analysis with numerics, is introduced for solving a large class of linear partial differential equations (PDEs ...

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 ...

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 ...

This course introduces high-performance computing (“HPC”) systems, software, and methods used to solve large-scale problems in science and engineering. It will focus on the intersection of two ...