The boundary element method (BEM) provides a robust framework for solving linear partial differential equations by transforming the problem domain into integrals over its boundary. This technique is ...

Numerical solution of Fredholm and Volterra integral equations. Boundary integral equations. Greens functions. Boundary element and singularity methods. Vortex methods. Free boundary problems.

For the integral equation $\mathrm{u}\left(\mathrm{x}\right)={\int }_{0}^{1}\mathrm{K}(\mathrm{x},\mathrm{y})\times \mathrm{u}\left(\mathrm{y}\right)\mathrm{d}\mathrm ...

In this paper I develop a new computational method for pricing path-dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform ...