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

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 ...

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 ...

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 ...

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

SIAM Journal on Numerical Analysis, Vol. 50, No. 6 (2012), pp. 3351-3374 (24 pages) In this paper quasi-Monte Carlo (QMC) methods are applied to a class of elliptic partial differential equations ...

The researchers’ device applies principles of neural networking to an optical framework. As a wave encoded with a PDE passes through the ONE’s series of components, its properties gradually shift and ...

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 ...