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 ...
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