Ordinary differential equations (ODEs) and difference equations serve as complementary tools in the mathematical modelling of processes evolving in continuous and discrete time respectively. Together ...

An important class of nonlinear models involves a dynamic description of the response rather than an explicit description. These models arise often in chemical kinetics, pharmacokinetics, and ...

In this paper, we consider the numerical valuation of swing options in electricity markets based on a two-factor model. These kinds of contracts are modeled as path dependent options with multiple ...