We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...

Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical ...

On 28 June 2021, 14:00-18:00, an online workshop "PDE and Numerical Mathematics" is organised by the Mathematics Departments of the Universities of Münster and Twente. Please contact Mario Ohlberger ...

SIAM Journal on Numerical Analysis, Vol. 36, No. 4 (May - Jun., 1999), pp. 1183-1233 (51 pages) We use biorthogonal filter banks to solve hyperbolic PDEs adaptively with a sparse multilevel ...

Partial differential equations (PDE) describe the behavior of fluids, structures, heat transfer, wave propagation, and other physical phenomena of scientific and engineering interest. This course ...

Many nonlinear option pricing problems can be formulated as optimal control problems, leading to Hamilton–Jacobi–Bellman (HJB) or Hamilton– Jacobi–Bellman–Isaacs (HJBI) equations. We show that such ...

The Applied Mathematics Research Group is one of the largest and most forward-thinking in Canada. Research in this group spans a broad variety of modern topics in applied mathematics, ranging from ...

The Applied Mathematics Research Group is one of the largest and most forward-thinking in Canada. Research in this group spans a broad variety of modern topics in applied mathematics, ranging from ...