In this video, learn how to solve boundary value differential equations using the finite difference method in Python. We break down the mathematical theory behind differential equations and transform ...

ABSTRACT: The mortgage valuation literature is saturated with numerous studies using the contingent claims approach to value mortgages. So far, efforts are directed into two alternative model ...

Compared to the conventional high-order staggered-grid finite-difference method (C-SFD), the time–space domain dispersion-relation-based high-order staggered-grid finite-difference method (TS-SFD) can ...

Systems of interacting electrons can show emergent, strong-correlation phenomena. The parquet equations self-consistently relate various propagation amplitudes of many-electron systems and thereby ...

Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier). Finite-Difference Approximations to the Heat Equation.

Abstract: This work addresses the resolution of the transport (advection-diffusion) equation in 3D using an explicit scheme for the finite d ifference method. Our initative is motivated by the ...

ABSTRACT: We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm ...

Abstract: This paper shows finite difference method for solving the Black-Scholes problems. The proposed FDM aims to make the process efficiently. Then the stability of the FDM was proposed. Finally, ...