SIAM Journal on Numerical Analysis, Vol. 26, No. 6 (Dec., 1989), pp. 1474-1486 (13 pages) An explicit finite difference algorithm is developed to approximate the solution of a nonlinear and nonlocal ...

This paper develops two local mesh-free methods for designing stencil weights and spatial discretization, respectively, for parabolic partial differential equations (PDEs) of ...

According to Basel III, financial institutions have to charge a credit valuation adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one ...