Matrix-based numerical modelling of financial differential equations

DOI10.1504/IJMMNO.2009.030089MaRDI QIDQ2655890zbMATH OpenFDO

Authors Juho Kanniainen, Robert Piché

Publication date 26 January 2010

Published in International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/IJMMNO.2009.030089

zbMATH Keywords

American optionsChebyshev spectral collocationdifferentiation matrixfinite differencemethod of linesoptimal shutdownoption pricingRunge-Kutta

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Numerical studies of differential equations related to theoretical financial markets
• Numerical methods for nonlinear PDEs in finance
• Numerical solution of stochastic differential equations in finance
• scientific article; zbMATH DE number 1070523
• Numerical approximation of multidimensional parabolic partial differential equations arising in financial mathematics
• scientific article; zbMATH DE number 5010404
• scientific article; zbMATH DE number 2031584
• scientific article; zbMATH DE number 5010400
• Finite volume schemes for solving nonlinear partial differential equations in financial mathematics

Cited in

(10)

• Parameter estimation and inference in dynamic systems described by linear partial differential equations
• A pseudospectral approach to the McWhorter and Sunada equation for two-phase flow in porous media with capillary pressure
• NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
• A simple equation solver and its application to financial modelling
• scientific article; zbMATH DE number 5010400 (Why is no real title available?)
• Financial Applications of Symbolically Generated Compact Finite Difference Formulae
• Capillary processes increase salt precipitation during CO\(_2\) injection in saline formations
• From arteries to boreholes: transient response of a poroelastic cylinder to fluid injection
• Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
• An analytical investigation into solute transport and sorption via intra-particle diffusion in the dual-porosity limit

Describes a project that uses

Uses Software

• Differentiation Matrix Suite

This page was built for publication: Matrix-based numerical modelling of financial differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2655890)