Numerical computation and mathematical software form the backbone of modern scientific inquiry, facilitating the approximation of real numbers, the solution of complex mathematical models, and the ...

We demonstrate the flexibility and ease of use of C++ algorithmic differentiation (AD) tools based on overloading through application to numerical patterns (kernels) arising in computational finance.

In this paper we introduce two methods for the efficient and accurate numerical solution of Black–Scholes models of American options: a penalty method and a front-fixing scheme. In the penalty ...

Transversal homoclinic orbits of maps are known to generate shift dynamics on a set with Cantor-like structure. In this paper a numerical method is developed for ...

This is a preview. Log in through your library . Abstract The degenerate parabolic equation $$\frac{\partial u}{\partial t} = \nabla \cdot (|u|^\nu\nabla u), \nu ...

General aspects of polynomial interpolation theory. Formulations in different basis, e.g. Lagrange, Newton etc. and their approximation and computational properties ...

I've written about numerical calculations before, but perhaps they weren't too inspiring. What are numerical calculations? Here is my own definition. Numerical Calculations (numerical methods, ...

This course is compulsory on the BSc in Financial Mathematics and Statistics. This course is not available as an outside option. This course is available with permission to General Course students.

This course is compulsory on the MSc in Financial Mathematics. This course is available with permission as an outside option to students on other programmes where regulations permit. The purpose of ...