Search Results - subject:"finite difference scheme"

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Optimal bank management under capital and liquidity constraints

Astic, Fabian; Tourin, Agnès - In: Journal of financial engineering 1 (2014) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10010508026

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

Itkin, Andrey; Carr, Peter - In: Computational Economics 40 (2012) 1, pp. 63-104

Persistent link: https://www.econbiz.de/10010866869

Transparent boundary conditions for quantum-waveguide simulations

Arnold, Anton; Schulte, Maike - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 4, pp. 898-905

difference scheme. For this difference equation we derive discrete transparent boundary conditions (DTBCs) in order to get highly …We consider the two-dimensional, time-dependent Schrödinger equation discretized with the Crank–Nicolson finite …

Persistent link: https://www.econbiz.de/10011051117

High-order compact boundary value method for the solution of unsteady convection–diffusion problems

Dehghan, Mehdi; Mohebbi, Akbar - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 3, pp. 683-699

In this paper, we propose a new class of high-order accurate methods for solving the two-dimensional unsteady convection–diffusion equation. These techniques are based on the method of lines approach. We apply a compact finite difference approximation of fourth order for discretizing spatial...

Persistent link: https://www.econbiz.de/10010749497

Dynamics of relational goods

Randon, Emanuela; Bruni, Luigino; Naimzada, Ahmad - In: International review of economics : journal of civil economy 55 (2008) 1/2, pp. 113-125

Persistent link: https://www.econbiz.de/10003713777

A discrete Itô calculus approach to He’s framework for multi-factor discrete markets

Akahori, Jirô - In: Asia-Pacific Financial Markets 12 (2005) 3, pp. 273-287

Persistent link: https://www.econbiz.de/10005684910

Iterative solution and finite difference approximations to 3D microscale heat transport equation

Zhang, Jun; Zhao, Jennifer J. - In: Mathematics and Computers in Simulation (MATCOM) 57 (2001) 6, pp. 387-404

-order finite difference scheme in both time and space is introduced and the unconditional stability of the finite difference scheme … accuracy of the finite difference scheme and the efficiency of the proposed computational procedure. …

Persistent link: https://www.econbiz.de/10010748802