Numerical methods

Numerical Methods

Numerical Methods and Stochastics Part I: Numerical Methods

Numerical Methods 101 - Convergence of Numerical Models

Advanced Numerical Methods for Numerical Weather Prediction

The long term goal of this research is to explore new numerical methods for the next generation global atmospheric model. The reason for considering new methods is due to the paradigm shift in high performance computing from vector computers to distributed memory machines. To take full advantage of the new architectures the global domain must now be partitioned into subdomains/ elements that ca...

Advanced Numerical Methods

1. When the asset pays continuous dividend yield at the rate q, the expected rate of return of the asset is r − q under the risk neutral measure (see Chap 3 of Kwok's text for justification). Under the continuous Geometric Brownian process model, the logarithm of the asset price ratio over ∆t interval is normally distributed with mean r − q − σ 2 2 ∆t and variance σ 2 ∆t. Accordingly, the mean ...