Exponential integrators represent an innovative class of numerical methods designed to address the challenges posed by stiff differential equations. By incorporating the matrix exponential to treat ...

Fourier analysis and numerical methods have long played a pivotal role in the solution of differential equations across science and engineering. By decomposing complex functions into sums of ...

In this paper, we consider the valuation of European and path-dependent options in foreign exchange markets when the currency exchange rate evolves according to the Heston model combined with the ...

Studies properties and solutions of partial differential equations. Covers methods of characteristics, well-posedness, wave, heat and Laplace equations, Green's functions, and related integral ...

An intermediate level course in the analytical and numerical study of ordinary differential equations, with an emphasis on their applications to the real world. Exact solution methods for ordinary ...