Numerical pricing of financial derivatives using Jain’s high-order compact scheme

Numerical Solution of Parabolized Stability Equations Using Super Compact Scheme

Numerical simulation of transient natural gas flow in pipelines using high order DG-ADER scheme

To increase the numerical accuracy in solving engineering problems, either conventional methods on a fine grid or methods with a high order of accuracy on a coarse grid can be used. In the present research, the second approach is utilized and the arbitrary high order Discontinues Galerkin Arbitrary DERivative (DG-ADER) method is applied to analyze the transient isothermal flow of natural gas th...

numerical solution of incompressible boussinesq equations using fourth-order compact scheme: lock exchange flow

in recent years, the number of research works devoted to applying the highly accurate numerical schemes, in particular compact finite difference schemes, to numerical simulation of complex flow fields with multi-scale structures, is increasing. the use of compact finite-difference schemes are the simple and powerful ways to reach the objectives of high accuracy and low computational cost. compa...

Pricing of Financial Derivatives

A financial derivative, for example an option, is an instrument (contract) whose value depends on the values of some underlying variables, where the underlying can be a commodity, an interest rate, stock, a stock index, a currency, to mention just a few examples. The financial derivatives market is enormous and is regularly reported to be worth $500 trillion. Derivatives provide an efficient wa...

numerical solution of unsteady and non-linear rossby adjustment problem using fourth-order compact maccormack scheme

the compact finite difference schemes have been found to give simple ways of reaching the objectives of high accuracy and low computational cost. during the past two decades, the compact schemes have been used extensively for numerical simulation of various fluid dynamics problems. these methods have also been applied for numerical solution of some prototype geophysical fluid dynamics problems ...