Numerical computation and mathematical software form the backbone of modern scientific inquiry, facilitating the approximation of real numbers, the solution of complex mathematical models, and the ...

In this paper we introduce two methods for the efficient and accurate numerical solution of Black–Scholes models of American options: a penalty method and a front-fixing scheme. In the penalty ...

Transversal homoclinic orbits of maps are known to generate shift dynamics on a set with Cantor-like structure. In this paper a numerical method is developed for ...

I've written about numerical calculations before, but perhaps they weren't too inspiring. What are numerical calculations? Here is my own definition. Numerical Calculations (numerical methods, ...

This is a preview. Log in through your library . Abstract The degenerate parabolic equation $$\frac{\partial u}{\partial t} = \nabla \cdot (|u|^\nu\nabla u), \nu ...

In this paper, an efficient approach for the computation of the fair value of a basket option as well as its Greeks is presented. Both European and American options are considered; the determination ...

General aspects of polynomial interpolation theory. Formulations in different basis, e.g. Lagrange, Newton etc. and their approximation and computational properties ...

This course is compulsory on the BSc in Financial Mathematics and Statistics. This course is not available as an outside option. This course is available with permission to General Course students.