SIAM Journal on Numerical Analysis, Vol. 26, No. 6 (Dec., 1989), pp. 1474-1486 (13 pages) An explicit finite difference algorithm is developed to approximate the solution of a nonlinear and nonlocal ...
Two methods are presented for efficiently computing the eigenvalues of the finite-difference Laplacian. One method embeds the region considered in a rectangle. The other method is applicable when the ...
According to Basel III, financial institutions have to charge a credit valuation adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one ...
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