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 ...

If the SINGLE option is not used, PROC MODEL computes values that simultaneously satisfy the model equations for the variables named in the SOLVE statement. PROC MODEL provides three iterative methods ...

Nyström's method with the trapezoidal rule, and the Fourier method, produce the same approximation to the solution of an integral equation at the collocation points ...

Inspired by path integral solutions to the quantum relaxation problem, we develop a numerical method to solve classical stochastic differential equations with multiplicative noise that avoids ...

In this paper we introduce two methods for the efficient and accurate numerical solution of Black–Scholes models of American options: a penalty method and a front-fixing scheme. In the penalty ...

The mere attendance of the lecture is valued at 2 CP. If the tutorials are completed as well (> 70 %), 3 CP are awarded. For this, the solutions to the problems must be handed in before the next ...

Optical systems employ a rich array of physical effects which are described by well-understood equations. However, for all but the simplest devices these equations are typically too complex to permit ...