Fourier analysis and numerical methods have long played a pivotal role in the solution of differential equations across science and engineering. By decomposing complex functions into sums of ...

In their 2001 paper, Longstaff and Schwartz suggested a method for American option pricing using simulation and regression, and since then this method has rapidly gained importance. However, the idea ...

A new study provides a rigorous theoretical and numerical analysis of the accuracy of the method of characteristics (MoC), a ...

Many banks currently use the loss distribution approach (LDA) for estimating economic and regulatory capital for operational risk under Basel's advanced measurement approach. The LDA requires the ...