This is a preview. Log in through your library . Abstract An implicit finite difference method of fourth order accuracy (in space and time) is introduced for the numerical solution of one-dimensional ...

Finite-Difference Time-Domain (FDTD) methods have become a cornerstone in the simulation of electromagnetic phenomena, enabling researchers to solve Maxwell’s equations through discretisation in both ...

Two-phase, incompressible flow in porous media is governed by a system of nonlinear partial differential equations. Convection physically dominates diffusion, and the object of this paper is to ...

We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...

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 ...