Finite Difference Methods Theory And Applications

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Finite Difference Methods For Ordinary And Partial Differential Equations

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Author : Randall J. LeVeque
language : en
Publisher: SIAM
Release Date : 2007-01-01

Finite Difference Methods For Ordinary And Partial Differential Equations written by Randall J. LeVeque and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-01 with Mathematics categories.

This book introduces finite difference methods for both ordinary differential equations (ODEs) and partial differential equations (PDEs) and discusses the similarities and differences between algorithm design and stability analysis for different types of equations. A unified view of stability theory for ODEs and PDEs is presented, and the interplay between ODE and PDE analysis is stressed. The text emphasizes standard classical methods, but several newer approaches also are introduced and are described in the context of simple motivating examples.

Finite Difference Methods Theory And Applications

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Author : Ivan Dimov
language : en
Publisher: Springer
Release Date : 2015-06-16

Finite Difference Methods Theory And Applications written by Ivan Dimov and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-16 with Computers categories.

This book constitutes the thoroughly refereed post-conference proceedings of the 6th International Conference on Finite Difference Methods, FDM 2014, held in Lozenetz, Bulgaria, in June 2014. The 36 revised full papers were carefully reviewed and selected from 62 submissions. These papers together with 12 invited papers cover topics such as finite difference and combined finite difference methods as well as finite element methods and their various applications in physics, chemistry, biology and finance.

Finite Difference Methods In Financial Engineering

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Author : Daniel J. Duffy
language : en
Publisher: John Wiley & Sons
Release Date : 2013-10-28

Finite Difference Methods In Financial Engineering written by Daniel J. Duffy and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-28 with Business & Economics categories.

The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

Finite Difference Methods

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Author : Aleksandr Andreevich Samarskiĭ
language : en
Publisher:
Release Date : 1999

Finite Difference Methods written by Aleksandr Andreevich Samarskiĭ and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Finite differences categories.

This volume is the Proceedings of the First Conference on Finite Difference Methods which was held at the University of Rousse, Bulgaria, 10--13 August 1997. The conference attracted more than 50 participants from 16 countries. 10 invited talks and 26 contributed talks were delivered. The volume contains 28 papers presented at the Conference. The most important and widely used methods for solution of differential equations are the finite difference methods. The purpose of the conference was to bring together scientists working in the area of the finite difference methods, and also people from the applications in physics, chemistry and other natural and engineering sciences.

Numerical Analysis Of Spectral Methods

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Author : David Gottlieb
language : en
Publisher: SIAM
Release Date : 1977-01-01

Numerical Analysis Of Spectral Methods written by David Gottlieb and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977-01-01 with Technology & Engineering categories.

A unified discussion of the formulation and analysis of special methods of mixed initial boundary-value problems. The focus is on the development of a new mathematical theory that explains why and how well spectral methods work. Included are interesting extensions of the classical numerical analysis.

Finite Difference Schemes And Partial Differential Equations

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Author : John C. Strikwerda
language : en
Publisher: Springer
Release Date : 1989-09-28

Finite Difference Schemes And Partial Differential Equations written by John C. Strikwerda and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989-09-28 with Juvenile Nonfiction categories.

Finite Difference Methods Theory And Applications

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Author : Ivan Dimov
language : en
Publisher: Springer
Release Date : 2019-01-28

Finite Difference Methods Theory And Applications written by Ivan Dimov and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-28 with Computers categories.

This book constitutes the refereed conference proceedings of the 7th International Conference on Finite Difference Methods, FDM 2018, held in Lozenetz, Bulgaria, in June 2018.The 69 revised full papers presented together with 11 invited papers were carefully reviewed and selected from 94 submissions. They deal with many modern and new numerical techniques like splitting techniques, Green’s function method, multigrid methods, and immersed interface method.

The Mathematics Of Reservoir Simulation

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Author : Richard E. Ewing
language : en
Publisher: SIAM
Release Date : 1983-01-01

The Mathematics Of Reservoir Simulation written by Richard E. Ewing and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983-01-01 with Science categories.

The emergence of complex enhanced recovery procedures in the field of hydrocarbon extraction techniques has emphasized the need for sophisticated mathematical tools, capable of modeling intricate chemical and physical phenomena and sharply changing fluid interfaces. This volume explains which problems need to be addressed, why they are difficult, what has been done previously to treat these difficulties, and which new techniques appear to possess potential for obtaining good simulation results.

Second International Conference Finite Difference Methods Theory And Application Cfdm98

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Author : Aleksandr Andreevich Samarskiĭ
language : en
Publisher: National AC
Release Date : 1998

Second International Conference Finite Difference Methods Theory And Application Cfdm98 written by Aleksandr Andreevich Samarskiĭ and has been published by National AC this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Mathematics categories.

Spectral Methods

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Author : Jie Shen
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-08-25

Spectral Methods written by Jie Shen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-25 with Mathematics categories.

Along with finite differences and finite elements, spectral methods are one of the three main methodologies for solving partial differential equations on computers. This book provides a detailed presentation of basic spectral algorithms, as well as a systematical presentation of basic convergence theory and error analysis for spectral methods. Readers of this book will be exposed to a unified framework for designing and analyzing spectral algorithms for a variety of problems, including in particular high-order differential equations and problems in unbounded domains. The book contains a large number of figures which are designed to illustrate various concepts stressed in the book. A set of basic matlab codes has been made available online to help the readers to develop their own spectral codes for their specific applications.