We analyze finite difference methods for the Gross-Pitaevskii equation with an angular momentum rotation term in two and three dimensions and obtain the optimal convergence rate, for the conservative ...

In this paper, third- and fourth-order compact finite difference schemes are proposed for solving Helmholtz equations with discontinuous media along straight interfaces in two space dimensions. To ...

We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...

According to Basel III, financial institutions have to charge a credit valuation adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one ...