JSTOR Daily

A FINITE DIFFERENCE SCHEME FOR SOLVING THE NONLINEAR POISSON-BOLTZMANN EQUATION MODELING CHARGED SPHERES

Vol. 24, No. 3, SPECIAL ISSUE DEDICATED TO THE 70TH BIRTHDAY OF PROFESSOR LIN QUN (MAY 2006), pp. 252-264 (13 pages) In this work, we propose an efficient numerical method for computing the ...
JSTOR Daily

A Finite-Difference Scheme for the Navier-Stokes Equations of One- Dimensional, Isentropic, Compressible Flow

SIAM Journal on Numerical Analysis, Vol. 28, No. 1 (Feb., 1991), pp. 78-112 (35 pages) ...
Risk

Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equations

We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...
Nature

Finite Difference Methods in Seismic Wave Propagation

Finite difference methods have become a cornerstone in the simulation of seismic wave propagation, providing a robust numerical framework to approximate the differential equations that govern seismic ...
Risk

Finite difference schemes with exact recovery of vanilla option prices

Peter Austing shows how to set up finite difference solvers to exactly recover the prices of all vanilla options on the grid. The approach leads to a specific discretisation of Dupire’s formula. It ...
Utrecht University

PhD defence: Singularities and virtual structures on the Hilbert scheme of points and its variants

This set itself can also be described by a system of equations; the corresponding geometric object is called the Hilbert scheme. Each point on the Hilbert scheme therefore corresponds to a system of ...