It is benchmarked against Monte Carlo simulation in the presence of a volatility skew and is shown to provide extremely accurate values for a variance swap. Our method is based on decomposing the ...

Physics and Python stuff. Most of the videos here are either adapted from class lectures or solving physics problems. I really like to use numerical calculations without all the fancy programming ...

The finite element method is considered when applied to a model Dirichlet problem on a plane polygonal domain. Rate of convergence estimates in the maximum norm, up to the boundary, are given locally.