This course is available on the BSc in Business Mathematics and Statistics, BSc in Mathematics and Economics, BSc in Mathematics with Economics and BSc in Mathematics, Statistics and Business. This ...

This is a preview. Log in through your library . Abstract The maximum principle of Fichera for a single second order partial differential equation with nonnegative characteristic form is extended 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 ...

Abstract Waveform relaxation methods are decoupling or splitting methods for large scale ordinary differential equations. In this paper, we apply the methods directly to semi-linear parabolic partial ...

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 ...

In this paper, we consider the valuation of European and path-dependent options in foreign exchange markets when the currency exchange rate evolves according to the Heston model combined with the ...

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 ...