Finite difference methods have become a cornerstone in the simulation of seismic wave propagation, providing a robust numerical framework to approximate the differential equations that govern seismic ...

The decomposition of portfolio risks in terms of the underlying assets, which are extremely important for risk budgeting, asset allocation and risk monitoring, is well described by risk contributions.

Abstract: While finite-difference time-domain methods have long been the foundational basis for particle-in-cell (PIC) codes, there has been increasing momentum in developing a suite of finite element ...

We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...