The recently developed multiscale kernel of R. Opfer [Adv. Comput. Math., 25 (2006), pp. 357- 380] is applied to approximate numerical derivatives. The proposed method is truly mesh-free and can ...

We propose a new numerical approach to solving high-dimensional partial differential equations (PDEs) that arise in the valuation of exotic derivative securities. The proposed method is extended from ...

We consider a model where each company's asset value follows a jump-diffusion process and is connected with other companies via global factors. Motivated by the 2011 work of Bush, Hambly, Haworth, Jin ...

The financial industry increasingly relies on large volumes of numerical data as financial products become more complex. As a result, analysts and financial engineers have turned to computational ...