The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...

This paper includes two parts. In the first part, general error estimates for "stable" eigenvalue approximations are obtained. These are practical in the sense that ...

Proceedings of the National Academy of Sciences of the United States of America PNAS is the world's most-cited multidisciplinary scientific serial. It publishes high-impact research reports, ...

Finite difference methods have become a cornerstone in the simulation of seismic wave propagation, providing a robust numerical framework to approximate the differential equations that govern seismic ...

The variational inequality formulation provides a mechanism for determining both the option value and the early exercise curve implicitly (Jaillet, Lamberton and Lapeyre, 1990). Standard ...

Developed a CUDA version of the FDTD method and achieved a speedup 40x. Implemented on a NVIDIA Quadro FX 3800 GPU, which has 192 SPs, 1GB global memory, and a memory bandwidth of 51.2 GB/s.

It is a pleasure to introduce the latest issue of The Journal of Computational Finance. The first two contributions focus on using novel neural network machinery to enhance classical financial ...