It is benchmarked against Monte Carlo simulation in the presence of a volatility skew and is shown to provide extremely accurate values for a variance swap. Our method is based on decomposing the ...

Since its first introduction in 1966, the Finite Difference Time Domain (FDTD) method has been widely used as a tool for solving complex electromagnetic problems. For FDTD, Maxwell’s equations ...

We combine the finite difference method with the Monte Carlo method to obtain exposure profiles and sensitivities for computationally challenging path-dependent options. This is done in the context of ...

Todd Arbogast, Fabio A. Milner, A Finite Difference Method for a Two-Sex Model of Population Dynamics, SIAM Journal on Numerical Analysis, Vol. 26, No. 6 (Dec., 1989), pp. 1474-1486 ...

A mixed finite-element finite-difference numerical method is developed to calculate nonlinear fluid-solid interaction problems. In this study, the structure is assumed to be rigid with large motion ...

The band gap for 2D PhC with different modes and different lattice structures using FDTD has been computed. Three PBGs between the first and the second bands, between the second and the third ...

Physics and Python stuff. Most of the videos here are either adapted from class lectures or solving physics problems. I really like to use numerical calculations without all the fancy programming ...