We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...

Finite-difference approximations for the first derivative, valid halfway between equidistant gridpoints, are in general much more accurate than the corresponding approximations, which are valid at ...

Finite-Difference Time-Domain (FDTD) methods represent a cornerstone in the numerical simulation of wave propagation phenomena. These methods solve Maxwell’s equations directly in the time domain, ...

Finite-Difference Time-Domain (FDTD) methods have become a cornerstone in the numerical solution of Maxwell’s equations, enabling detailed electromagnetic analysis across a wide range of applications.

SIAM Journal on Numerical Analysis, Vol. 48, No. 4 (2010), pp. 1281-1312 (32 pages) We develop a mixed finite element method for elliptic problems on hexahedral grids that reduces to cell-centered ...

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CATALOG DESCRIPTION: Introduction to the finite-difference time-domain (FDTD) method in numerical modeling of electromagnetic and optical wave interactions with engineering structures. Topics: finite ...

The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...

Course Description: This course provides a practical introduction to the Finite Element Method (FEM), with an emphasis on hands-on implementation using Python. It covers the basic theoretical concepts ...