Nature

Cascadic Multigrid Methods for Partial Differential Equations

Cascadic multigrid methods represent a class of iterative solvers that have been developed to efficiently tackle the large-scale linear systems arising from the discretisation of partial differential ...
Risk

A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model

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 ...
Risk

A new nonlinear partial differential equation in finance and a method of its solution

We consider a specific type of nonlinear partial differential equation (PDE) that appears in mathematical finance as the result of solving some optimization problems. We review some examples of such ...
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Partial Differential Equations

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 ...