We consider the application of finite-difference methods to the numerical solution of boundary-value problems. In particular we are concerned to study the feasibility and convergence of the difference ...

It is shown that pseudospectral approximation to a special class of variable coefficient one-dimensional wave equations is stable and convergent even though the wave speed changes sign within the ...

We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...

My main research interests are in developing, analyzing, and implementing numerical methods, in particular for solving PDEs to high orders of accuracy. Such methods include pseudospectral and high ...