This paper suggests a modification to the explicit finite difference method for valuing derivative securities. The modification ensures that, as smaller time intervals are considered, the calculated ...

It consists of 12 chapters within four sections including: the variational principles and formulation of the explicit finite element method for nonlinear transient dynamics; the finite element ...

It is benchmarked against Monte Carlo simulation in the presence of a volatility skew and is shown to provide extremely accurate values for a variance swap. Our method is based on decomposing the ...

The explicit-jump immersed interface method (EJIIM) was developed following Li's fast iterative immersed interface method (FIIIM), recognizing that the foundation for the efficient solution of many ...

These are known as the radial-basis-function generated finite-difference method and the Hermite finite-difference method. The convergence and stability of these schemes are investigated numerically ...

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 ...