We consider the Heston model as an example of a parameterized parabolic partial differential equation. A space-time variational formulation is derived that allows for parameters in the coefficients ...
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 ...
SIAM Journal on Numerical Analysis, Vol. 27, No. 6 (Dec., 1990), pp. 1422-1444 (23 pages) Vector systems of parabolic partial differential equations in one space dimension are solved by an adaptive ...
This is a preview. Log in through your library . Abstract A stochastic collocation method for solving linear parabolic partial differential equations with random coefficients, forcing terms, and ...
This course is available on the BSc in Business Mathematics and Statistics, BSc in Mathematics and Economics, BSc in Mathematics with Economics and BSc in Mathematics, Statistics and Business. This ...
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