By using of the interpolation formulas for the spaces of discrete functions with unequal meshsteps and the method of a priori estimation for the discrete solutions of finite difference schemes with ...

We present the multiplier method of constructing conservative finite difference schemes for ordinary and partial differential equations. Given a system of differential equations possessing ...

A free-boundary formulation is considered for the price of American options under jump-diffusion models with finite jump activity. On the free boundary a Cauchy boundary condition holds, due to the ...

It is benchmarked against Monte Carlo simulation in the presence of a volatility skew and is shown to provide extremely accurate values for a variance swap. Our method is based on decomposing the ...

The band gap for 2D PhC with different modes and different lattice structures using FDTD has been computed. Three PBGs between the first and the second bands, between the second and the third ...