Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical ...

We provide a bound for the error committed when using a Fourier method to price European options, when the underlying follows an exponential Lévy dynamic. The price ...

Numerical analysis is the branch of mathematics devoted to the study of algorithms for the approximate solution of problems that often have no closed‐form answer. At its core, numerical analysis seeks ...