This paper is concerned with numerical methods for a class of two-dimensional quasilinear elliptic boundary value problems. A compact finite difference method with a nonisotropic mesh is proposed for ...

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 ...

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 ...

We develop a framework for applying high-order finite element methods to singularly-perturbed elliptic and parabolic differential systems that utilizes special quadrature rules to confine spurious ...