In this work we introduce the Proper Orthogonal Decomposition (POD)approach to the valuation of contingent claims for one–dimensional price models.First, we present the POD in the context of an abstract Hilbert space and we givean application for the numerical pricing of Double Barrier...

In this paper we consider an analytical and numerical study of a reaction-diffusion system for describing the formation of transition front waves in some electrodeposition (ECD) experiments. Towards this aim, a model accounting for the coupling between morphology and composition of one chemical...

Bidirectional valuation models are based on numerical methods to obtain kernels of parabolic equations. Here we address the problem of robustness of kernel calculations vis a vis floating point errors from a theoretical standpoint. We are interested in kernels of one-dimensional diffusion...