JSTOR Daily

ON THE DERIVATION OF HIGHEST-ORDER COMPACT FINITE DIFFERENCE SCHEMES FOR THE ONE- AND TWO-DIMENSIONAL POISSON EQUATION WITH DIRICHLET BOUNDARY CONDITIONS

SIAM Journal on Numerical Analysis, Vol. 51, No. 4 (2013), pp. 2470-2490 (21 pages) The primary aim of this paper is to answer the question, What are the highest-order five-or nine-point compact ...
Nature

Finite Difference Methods in Seismic Wave Propagation

Finite difference methods have become a cornerstone in the simulation of seismic wave propagation, providing a robust numerical framework to approximate the differential equations that govern seismic ...
JSTOR Daily

A FINITE DIFFERENCE SCHEME FOR SOLVING THE NONLINEAR POISSON-BOLTZMANN EQUATION MODELING CHARGED SPHERES

Vol. 24, No. 3, SPECIAL ISSUE DEDICATED TO THE 70TH BIRTHDAY OF PROFESSOR LIN QUN (MAY 2006), pp. 252-264 (13 pages) In this work, we propose an efficient numerical method for computing the ...
Risk

Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equations

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

Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation

In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...