Approximation theory and asymptotic methods form a foundational framework that bridges classical ideas with modern numerical analysis, enabling researchers to obtain practical, near‐optimal solutions ...

Abstract. Numerical approximations to the solution of a linear singularly perturbed parabolic convection-diffusion problem are generated using a backward Euler method in time and an upwinded finite ...

On 28 June 2021, 14:00-18:00, an online workshop "PDE and Numerical Mathematics" is organised by the Mathematics Departments of the Universities of Münster and Twente. Please contact Mario Ohlberger ...

This is a hands-on graduate-level course teaching key techniques to analyse and estimate macroeconomics models. It teaches the key building blocks of numerical analysis such as function approximation ...

In their 2001 paper, Longstaff and Schwartz suggested a method for American option pricing using simulation and regression, and since then this method has rapidly gained importance. However, the idea ...

We propose to use stratified approximations based on the gamma and lognormal distributions for the pricing of options on average, such as Asian options and bond prices in the Dothan model. We show ...