We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
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 ...
On 28 June 2021, 14:00-18:00, an online workshop "PDE and Numerical Mathematics" is organised by the Mathematics Departments of the Universities of Münster and Twente. Please contact Mario Ohlberger ...
In this paper, we discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency ...
Calculation: A representation of a network of electromagnetic waveguides (left) being used to solve Dirichlet boundary value problems. The coloured diagrams at right represent the normalized ...
On 28 June 2021, 14:00-18:00, an online workshop "PDE and Numerical Mathematics" is organised by the Mathematics Departments of the Universities of Münster and Twente. Please contact Mario Ohlberger ...
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