This paper suggests a modification to the explicit finite difference method for valuing derivative securities. The modification ensures that, as smaller time intervals are considered, the calculated ...

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 ...

The explicit-jump immersed interface method (EJIIM) was developed following Li's fast iterative immersed interface method (FIIIM), recognizing that the foundation for the efficient solution of many ...

Technical Terms Finite-Difference Time-Domain (FDTD): A numerical method for solving partial differential equations, notably Maxwell’s equations, by discretising both time and spatial domains.

A free-boundary formulation is considered for the price of American options under jump-diffusion models with finite jump activity. On the free boundary a Cauchy boundary condition holds, due to the ...

This book aids readers in mastering the explicit finite element method as well as programing a code without extensively reading the more general finite element books.