A conservative difference scheme is presented for the initial-boundary value problem for generalized Zakharov equations. The scheme can be implicit or semiexplicit depending on the choice of a ...

Finite-difference approximations for the first derivative, valid halfway between equidistant gridpoints, are in general much more accurate than the corresponding approximations, which are valid at ...

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 ...

Finite-Difference Time-Domain (FDTD) methods represent a cornerstone in the numerical simulation of wave propagation phenomena. These methods solve Maxwell’s equations directly in the time domain, ...