Risk

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

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 ...
Nature

Error Analysis and Numerical Methods for Parabolic Partial Differential Equations

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 ...
Risk

An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives

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 ...
uni

Online workshop "PDE and Numerical Mathematics"

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 ...
CU Boulder News & Events

Data-Driven Equation Discovery

Governing equations in the form of ordinary and partial differential equations are valuable models for physical systems. However they can be difficult to derive, making them unknown, particularly for ...