High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions write by Bertram Düring. This book was released on 2014. High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions available in PDF, EPUB and Kindle. We present a high-order compact finite difference approach for a rather general class of parabolic partial differential equations with time and space dependent coefficients as well as with mixed second-order derivative terms in n spatial dimensions. Problems of this type arise frequently in computational fluid dynamics and computational finance. We derive general conditions on the coefficients which allow us to obtain a high-order compact scheme which is fourth-order accurate in space and second-order accurate in time. Moreover, we perform a thorough von Neumann stability analysis of the Cauchy problem in two and three spatial dimensions for vanishing mixed derivative terms, and also give partial results for the general case. The results suggest unconditional stability of the scheme. As an application example we consider the pricing of European Power Put Options in the multidimensional Black-Scholes model for two and three underlying assets. Due to the low regularity of typical initial conditions we employ the smoothing operators of Kreiss et al. to ensure high-order convergence of the approximations of the smoothed problem to the true solution.
Novel Methods in Computational Finance
Novel Methods in Computational Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Novel Methods in Computational Finance write by Matthias Ehrhardt. This book was released on 2017-09-19. Novel Methods in Computational Finance available in PDF, EPUB and Kindle. This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.
Progress in Industrial Mathematics at ECMI 2014
Progress in Industrial Mathematics at ECMI 2014 - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Progress in Industrial Mathematics at ECMI 2014 write by Giovanni Russo. This book was released on 2017-09-04. Progress in Industrial Mathematics at ECMI 2014 available in PDF, EPUB and Kindle. This book presents a collection of papers emphasizing applications of mathematical models and methods to real-world problems of relevance for industry, life science, environment, finance and so on. The biannual Conference of ECMI (the European Consortium of Mathematics in Industry) held in 2014 focused on various aspects of industrial and applied mathematics. The five main topics addressed at the conference were mathematical models in life science, material science and semiconductors, mathematical methods in the environment, design automation and industrial applications, and computational finance. Several other topics have been treated, such as, among others, optimization and inverse problems, education, numerical methods for stiff pdes, model reduction, imaging processing, multi physics simulation, mathematical models in textile industry. The conference, which brought together applied mathematicians and experts from industry, provided a unique opportunity to exchange ideas, problems and methodologies, bridging the gap between mathematics and industry and contributing to the advancement of science and technology. The conference has included a presentation of EU-Maths-In (European Network of Mathematics for Industry and Innovation), a recent joint initiative of ECMI and EMS. The proceedings from this conference represent a snapshot of the current activity in industrial mathematics in Europe, and are highly relevant to anybody interested in the latest applications of mathematics to industrial problems.
Progress in Industrial Mathematics at ECMI 2021
Progress in Industrial Mathematics at ECMI 2021 - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Progress in Industrial Mathematics at ECMI 2021 write by Matthias Ehrhardt. This book was released on 2022-11-25. Progress in Industrial Mathematics at ECMI 2021 available in PDF, EPUB and Kindle. This book gathers peer-reviewed contributions submitted to the 21st European Conference on Mathematics for Industry, ECMI 2021, which was virtually held online, hosted by the University of Wuppertal, Germany, from April 13th to April 15th, 2021. The works explore mathematics in a wide variety of applications, ranging from problems in electronics, energy and the environment, to mechanics and mechatronics. Topics covered include: Applied Physics, Biology and Medicine, Cybersecurity, Data Science, Economics, Finance and Insurance, Energy, Production Systems, Social Challenges, and Vehicles and Transportation. The goal of the European Consortium for Mathematics in Industry (ECMI) conference series is to promote interaction between academia and industry, leading to innovations in both fields. These events have attracted leading experts from business, science and academia, and have promoted the application of novel mathematical technologies to industry. They have also encouraged industrial sectors to share challenging problems where mathematicians can provide fresh insights and perspectives. Lastly, the ECMI conferences are one of the main forums in which significant advances in industrial mathematics are presented, bringing together prominent figures from business, science and academia to promote the use of innovative mathematics in industry.
High-Order Methods for Parabolic Equations in Multiple Space Dimensions for Option Pricing Problems
High-Order Methods for Parabolic Equations in Multiple Space Dimensions for Option Pricing Problems - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook High-Order Methods for Parabolic Equations in Multiple Space Dimensions for Option Pricing Problems write by Christian Hendricks. This book was released on 2017. High-Order Methods for Parabolic Equations in Multiple Space Dimensions for Option Pricing Problems available in PDF, EPUB and Kindle.
