We present the multiplier method of constructing conservative finite difference schemes for ordinary and partial differential equations. Given a system of differential equations possessing ...

This is a preview. Log in through your library . Abstract A fully discrete finite difference scheme for dissipative Klein-Gordon-Schrödinger equations in three space dimensions is analyzed. On the ...

We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...

Physics and Python stuff. Most of the videos here are either adapted from class lectures or solving physics problems. I really like to use numerical calculations without all the fancy programming ...

Physics and Python stuff. Most of the videos here are either adapted from class lectures or solving physics problems. I really like to use numerical calculations without all the fancy programming ...

According to Basel III, financial institutions have to charge a credit valuation adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one ...