Three computational techniques for approximation of counterparty exposure for financial derivatives are presented. The exposure can be used to quantify so-called Credit Valuation Adjustment (CVA) and Potential Future Exposure (PFE), which are of utmost importance for modern risk management in...

Thermoelectric self-cooling systems hold good prospects for the future, since they improve the cooling of any heat-generating device without electricity consumption. The potential number of applications seems to be enormous, hence the necessity of a specific model to simulate this type of...

Based on a re-formulation of the classical explanation of quantum mechanical Gaussian dispersion (Grössing et al. (2010) [1]) as well as interference of two Gaussians (Grössing et al. (2012) [6]), we present a new and more practical way of their simulation. The quantum mechanical “decay...

We present an effective finite difference formulation for implementing and modeling multiple borehole heat exchangers (BHE) in the general 3-D coupled heat and flow transport code SHEMAT. The BHE with arbitrary length can be either coaxial or double U-shaped. It is particularly suitable for...

A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the...

A new computational method for approximating prices of zero-coupon bonds and bond option prices under general Chan–Karolyi–Longstaff–Schwartz models is proposed. The pricing partial differential equations are discretized using second-order finite difference approximations and an...