Parabolic partial differential equations (PDEs) are fundamental in modelling a wide range of diffusion processes in physics, finance and engineering. The numerical approximation of these equations ...

We provide a bound for the error committed when using a Fourier method to price European options, when the underlying follows an exponential Lévy dynamic. The price ...

This course will cover advanced topics in the development and analysis of numerical methods for simulation of rigid body motion. Topics will include forward error ...

General aspects of polynomial interpolation theory. Formulations in different basis, e.g. Lagrange, Newton etc. and their approximation and computational properties ...