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 ...
CU Boulder News & Events: APPM 6610 Introduction to Numerical Partial Differential Equations
Risk: An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
CU Boulder News & Events: Direct Numerical Solutions to Stochastic Differential Equations with Multiplicative Noise
Inspired by path integral solutions to the quantum relaxation problem, we develop a numerical method to solve classical stochastic differential equations with multiplicative noise that avoids ...
CU Boulder News & Events: CSCI 5636: Numerical Solution of Partial Differential Equations
Course on using spectral methods to solve partial differential equations. We will cover the exponential convergence of spectral methods for periodic and non-periodic problem, and a general framework ...
Boundary value problems (BVPs) and partial differential equations (PDEs) are critical components of modern applied mathematics, underpinning the theoretical and practical analyses of complex systems.
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 ...
Numerical methods for differential and integral equations are indispensable in modern applied mathematics and engineering, offering tools to approximate complex physical phenomena where analytical ...