Finite difference methods have become a cornerstone in the simulation of seismic wave propagation, providing a robust numerical framework to approximate the differential equations that govern seismic ...
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 ...
SIAM Journal on Numerical Analysis, Vol. 26, No. 6 (Dec., 1989), pp. 1474-1486 (13 pages) An explicit finite difference algorithm is developed to approximate the solution of a nonlinear and nonlocal ...
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 ...
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 ...
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