The analysis of the finite difference schemes with nonuniform meshes for the problems of partial differential equations is extremely rare even for very simple problems and even for the method of fully ...

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 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 ...

This paper applies a variety of second-order finite difference schemes to the SABR arbitrage-free density problem and explores alternative formulations.

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 ...