Nature

Error Analysis and Numerical Methods for Parabolic Partial Differential Equations

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 ...
Risk

A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing

We consider the Heston model as an example of a parameterized parabolic partial differential equation. A space-time variational formulation is derived that allows for parameters in the coefficients ...
Risk

An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives

In this paper, we discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency ...
uni

Analysis of Partial Differential Equations

Partial differential equations (PDEs) lie at the heart of many different fields of Mathematics and Physics: Complex Analysis, Minimal Surfaces, Kähler and Einstein Geometry, Geometric Flows, ...