Cover -- Title Page -- Copyright -- Contents -- Preface -- Who Should Read this Book? -- PART A Mathematical Foundation for One‐Factor Problems -- CHAPTER 1 Real Analysis Foundations for this Book -- 1.1 Introduction and Objectives -- 1.2 Continuous Functions -- 1.2.1 Formal Definition of...

The problem of periodic flow of an incompressible fluid through a pipe, which is driven by an oscillating pressure gradient (. a reciprocating piston), is investigated in the case of a large Reynolds number. This process is described by a singularly perturbed parabolic equation with a periodic...

Spread options are multi-asset options whose payoffs depend on the difference of two underlying financial variables. In most cases, analytically closed form solutions for pricing such payoffs are not available, and the application of numerical pricing methods turns out to be non-trivial. We...

This paper formulates and analyzes a discretization scheme for a jump-diffusion process with general state-dependent drift, volatility, jump intensity, and jump size. The jump times of the process are constructed as time-changed Poisson arrival times, and the Euler method is used to generate the...