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 ...

Partial differential equations (PDE) describe the behavior of fluids, structures, heat transfer, wave propagation, and other physical phenomena of scientific and engineering interest. This course ...

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 ...

We discuss two Newton-like methods for solving the systems which arise from nonlinear partial differential equations and nonlinear networks. Under appropriate conditions both methods provide global ...

This is a preview. Log in through your library . Abstract Spline collocation methods are proposed for the spatial discretization of a class of hyperbolic partial integro-differential equations arising ...

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...

The mere attendance of the lecture is valued at 2 CP. If the tutorials are completed as well (> 70 %), 3 CP are awarded. For this, the solutions to the problems must be handed in before the next ...