Optical systems employ a rich array of physical effects which are described by well-understood equations. However, for all but the simplest devices these equations are typically too complex to permit ...

Analysis and implementation of numerical methods for random processes: random number generators, Monte Carlo methods, Markov chains, stochastic differential equations, and applications. Recommended ...

In this research field we are developing advanced computational methods centered around efficient solution strategies for partial differential equations. In numerical analysis, we focus on developing ...

Our work in numerical and scientific computing involves the development, analysis and execution of computational algorithms to solve mathematical problems from science and engineering. Our faculty are ...

Studying the equations of General Relativity and beyond, both analytically and with state-of-the-art simulations. Novel numerical and mathematical approaches can shed light on the structure and ...

In the collocating volatility (CLV) model, the stochastic collocation technique is used as a convenient representation of the terminal distribution of the market option prices. A specific dynamic is ...

In this paper, an efficient approach for the computation of the fair value of a basket option as well as its Greeks is presented. Both European and American options are considered; the determination ...