SIAM Journal on Numerical Analysis, Vol. 46, No. 5 (2008), pp. 2411-2442 (32 pages) This work proposes and analyzes an anisotropic sparse grid stochastic collocation method for solving partial ...
Finite element methods (FEM) have emerged as a versatile and robust framework for the numerical simulation of evolving partial differential equations (PDEs). These methods discretise complex ...
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 ...
A partial differential equation (PDE) is a mathematical equation that involves multiple independent variables, an unknown function that is dependent on those variables, and partial derivatives of the ...
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 ...
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 ...
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 ...
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