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Stability of finite difference methods on non-uniform grids for partial differential equations from financial mathematics.

In this research project we derive theoretical stability results for finite difference methods on general non-uniform grids. We consider several applications from financial mathematics. First of all we start with the well-known 1-dimensional Black-Scholes equation. After that we move on to higher dimensional partial differential equations, for example the Heston-Hull-White model. Our theoretical results are supported by numerical experiments.
Date:1 Oct 2011  →  31 Jan 2013
Disciplines:Applied mathematics in specific fields, Computer architecture and networks, Distributed computing, Information sciences, Information systems, Programming languages, Scientific computing, Theoretical computer science, Visual computing, Other information and computing sciences