Backward stochastic differential equations (BSDEs) have emerged as a pivotal mathematical tool in the analysis of complex systems across finance, physics and engineering. Their formulation, generally ...

This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...

This course is available on the BSc in Mathematics and Economics, BSc in Mathematics with Data Science, BSc in Mathematics with Economics and BSc in Mathematics, Statistics and Business. This course ...

This is the first part of a two course graduate sequence in analytical methods to solve ordinary and partial differential equations of mathematical physics. Review of Advanced ODE’s including power ...

A new technical paper titled “Solving sparse finite element problems on neuromorphic hardware” was published by researchers ...

In this paper, we consider the valuation of European and path-dependent options in foreign exchange markets when the currency exchange rate evolves according to the Heston model combined with the ...

Introductory course on using a range of finite-difference methods to solve initial-value and initial-boundary-value problems involving partial differential equations. The course covers theoretical ...

Partial differential equations (PDEs) lie at the heart of many different fields of Mathematics and Physics: Complex Analysis, Minimal Surfaces, Kähler and Einstein Geometry, Geometric Flows, ...