Risk

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

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 ...
uni

Online workshop "PDE and Numerical Mathematics"

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 ...
Risk

Numerical simulation and applications of the convection–diffusion–reaction equation with the radial basis function in a finite-difference mode

This paper develops two local mesh-free methods for designing stencil weights and spatial discretization, respectively, for parabolic partial differential equations (PDEs) of ...
mccormick.northwestern.edu

ES_APPM 446-2: Numerical Solution of Partial Differential Equations

Course on using spectral methods to solve partial differential equations. We will cover the exponential convergence of spectral methods for periodic and non-periodic problem, and a general framework ...