Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical approximation of these equations ...

In this paper, we discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency ...

Faculty at Michigan Tech study problems from fluid dynamics, model polymers and multiphase flows, simulate optical phenomena, and study composite materials. Several faculty focus on the design and ...

Covers finite difference, finite element, finite volume, pseudo-spectral, and spectral methods for elliptic, parabolic, and hyperbolic partial differential equations. Prereq., APPM 5600. Recommended ...

This week, we apply MPI commands and the ability to run parallel problems to a numerical method that solves a partial differential equation. In-class development of a finite difference code In-class ...

The purpose of this study is the design of efficient methods for the solution of an ordinary differential system of equations arising from the semidiscretization of a hyperbolic partial differential ...

Under some assumptions, the valuation of financial derivatives, including a value adjustment to account for default risk (the so-called XVA), gives rise to a nonlinear partial differential equation ...

Numerical methods for systems of first order ordinary differential equations are tested on a variety of initial value problems. The methods are compared primarily as to how well they can handle ...