Research from all publishers Recent studies have focused on enhancing finite difference schemes by incorporating high-order mimetic operators and curved grid techniques. For example, improvements ...

Based on multiplicative calculus, the finite difference schemes for the numerical solution of multiplicative differential equations and Volterra differential equations are presented. Sample problems ...

We present the multiplier method of constructing conservative finite difference schemes for ordinary and partial differential equations. Given a system of differential equations possessing ...

Physics and Python stuff. Most of the videos here are either adapted from class lectures or solving physics problems. I really like to use numerical calculations without all the fancy programming ...

A free-boundary formulation is considered for the price of American options under jump-diffusion models with finite jump activity. On the free boundary a Cauchy boundary condition holds, due to the ...

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 ...