Finite volume schemes for solving nonlinear partial differential equations in financial mathematics

DOI10.1007/978-3-642-20671-9_68MaRDI QIDQ2902144zbMATH OpenOpenAlexFDO

Authors Pavol Kútik, Karol Mikula

Publication date 17 August 2012

Published in Finite Volumes for Complex Applications VI Problems & Perspectives (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-20671-9_68

zbMATH Keywords

financial mathematicsfinite volume methodsecond-order scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Initial-boundary value problems for second-order parabolic equations (35K20) Nonlinear parabolic equations (35K55) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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Cited in

(14)

• Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
• A nonlinear partial integro-differential equation from mathematical finance
• Financial Applications of Symbolically Generated Compact Finite Difference Formulae
• Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation
• Analysis of the nonlinear option pricing model under variable transaction costs
• Newton-based solvers for nonlinear PDEs in finance
• Matrix-based numerical modelling of financial differential equations
• A second-order positivity preserving numerical method for gamma equation
• A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
• A positivity-preserving numerical scheme for nonlinear option pricing models
• Using spectral element method to solve variational inequalities with applications in finance
• Solving Free-boundary Problems with Applications in Finance
• Nonlinear Parabolic Equations Arising in Mathematical Finance
• Robust numerical algorithm to the European option with illiquid markets

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