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 ...
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 ...
On 28 June 2021, 14:00-18:00, an online workshop "PDE and Numerical Mathematics" is organised by the Mathematics Departments of the Universities of Münster and Twente. Please contact Mario Ohlberger ...
This is a preview. Log in through your library . Abstract In a recent paper, Gourlay (in Advances in Computer Methods for Partial Differential Equations II, IMACS, 1977) has considered several block ...
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 ...
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