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.

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 ...

This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The ...

Fourier analysis and numerical methods have long played a pivotal role in the solution of differential equations across science and engineering. By decomposing complex functions into sums of ...

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 ...

A nonlinear parabolic system is derived to describe compressible miscible displacement in a porous medium. The system is consistent with the usual model for incompressible miscible displacement. Two ...

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 MSc in Financial Mathematics. This course is available with permission as an outside option to students on other programmes where regulations permit. Students must ...

Optical systems employ a rich array of physical effects which are described by well-understood equations. However, for all but the simplest devices these equations are typically too complex to permit ...

As the name of the "Virtual Engine and Numerical Methods" department suggests, this department combines research activities on the "virtual engine" and on cross-scale numerical methods as virtual test ...