Finite element methods (FEM) constitute a foundational numerical approach for solving partial differential equations by discretising complex domains into smaller, manageable subdomains known as ...

Stochastic differential equations (SDEs) provide a powerful framework for modelling systems where randomness plays a crucial role. Estimation methods for SDEs seek to infer underlying parameters that ...

This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...

SIAM Journal on Numerical Analysis, Vol. 7, No. 1 (Mar., 1970), pp. 47-66 (20 pages) Linear one step methods of a novel design are given for the numerical solution of stiff systems of ordinary ...

Asymptotic error expansions have been obtained for certain numerical methods for linear Volterra integro-differential equations. These results permit the application ...

In this paper, we consider the valuation of European and path-dependent options in foreign exchange markets when the currency exchange rate evolves according to the Heston model combined with the ...

Introductory course on using a range of finite-difference methods to solve initial-value and initial-boundary-value problems involving partial differential equations. The course covers theoretical ...

This course is available on the BSc in Mathematics and Economics, BSc in Mathematics with Data Science, BSc in Mathematics with Economics, BSc in Mathematics, Statistics and Business, Erasmus ...