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 ...
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 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 ...
A mathematician from RUDN University suggested a stable difference scheme for solving inverse problems for elliptic-telegraph and differential equations that are used to describe biological, physical, ...
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 ...
Description: This is a methods course for juniors in any branch of engineering and science, designed to follow MA 262. Basic techniques for solving systems of linear ordinary differential equations.
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