SIAM Journal on Numerical Analysis, Vol. 46, No. 1 (2007/2008), pp. 344-364 (21 pages) New numerical techniques are presented for the solution of a class of linear partial integro-differential ...
Finite-Difference Time-Domain (FDTD) methods have become a cornerstone in the simulation of electromagnetic phenomena, enabling researchers to solve Maxwell’s equations through discretisation in both ...
We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...
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