CSCI 3656 or CSCI 5606, and three semesters of calculus, or consent of instructor.

Today the Numerical Algorithms Group announces the latest version of its flagship software, the NAG Library, Mark 26. In this release, NAG has introduced an Optimization Modeling ... A new interior ...

We show that such formulations are very convenient for developing monotone discretization methods that ensure convergence to the ... While we use a very general approach, we also include numerical ...

In this paper we introduce two methods for the efficient and accurate numerical solution of Black–Scholes models of American options: a penalty method and a front-fixing scheme. In the penalty ...