SIAM Journal on Numerical Analysis, Vol. 7, No. 1 (Mar., 1970), pp. 47-66 (20 pages) Linear one step methods of a novel design are given for the numerical solution of stiff systems of ordinary ...
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 ...
General aspects of polynomial interpolation theory. Formulations in different basis, e.g. Lagrange, Newton etc. and their approximation and computational properties ...
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 ...
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