SIAM Journal on Numerical Analysis, Vol. 26, No. 6 (Dec., 1989), pp. 1474-1486 (13 pages) An explicit finite difference algorithm is developed to approximate the solution of a nonlinear and nonlocal ...

Finite-Difference Time-Domain (FDTD) methods have become a cornerstone in the numerical solution of Maxwell’s equations, enabling detailed electromagnetic analysis across a wide range of applications.

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 ...

Computational fluid dynamics (CFD) is a branch of physics that utilizes numerical methods and algorithms to analyze and predict the behavior of fluids and gases under various conditions. This field ...

According to Basel III, financial institutions have to charge a credit valuation adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one ...