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 ...

We provide a bound for the error committed when using a Fourier method to price European options, when the underlying follows an exponential Lévy dynamic. The price ...

Find the forces on the object. Find the new momentum (based on the force and the small time interval) Find the new position (based on the velocity and time interval). Simple. And it even works most of ...

If the SINGLE option is not used, PROC MODEL computes values that simultaneously satisfy the model equations for the variables named in the SOLVE statement. PROC MODEL provides three iterative methods ...

A new study provides a rigorous theoretical and numerical analysis of the accuracy of the method of characteristics (MoC), a ...