This paper proposes an efficient model for the term structure of interest rates when the interest rate takes very small values. We make the following choices: (i) we model the short-term interest rate, (ii) we assume that once the interest rate reaches zero, it stays there and we have to wait...

Several finite difference schemes are discussed for solving the two-dimensional Schrodinger equation with Dirichlet’s boundary conditions. We use three fully implicit finite difference schemes, two fully explicit finite difference techniques, an alternating direction implicit procedure and the...

The Cahn–Hilliard (CH) equation is related with a number of interesting physical phenomena like the spinodal decomposition, phase separation and phase ordering dynamics. On the other hand this equation is very stiff and the difficulty to solve it numerically increases with the dimensionality...

This paper examines the effects of uncertainty through dynamic learning about the firm's project value in the real options framework. We extend the real options framework with incomplete information by allowing an unobserved state variable that drives profits to follow a stochastic process with...

The coupled nonlinear Schrödinger equation models several interesting physical phenomena. It represents a model equation for optical fiber with linear birefringence. In this paper we introduce a finite difference method for a numerical simulation of this equation. This method is second-order in...