Risk

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Wired

The Leapfrog Numerical Method

Find the forces on the object. Find the new momentum (based on the force and the small time interval) Find the new position (based on the velocity and time interval). Simple. And it even works most of ...
JSTOR Daily

An Effcient Method for the Numerical Solution of the Nonlinear Hammerstein Fractional Integral Equations

In this paper, we present a numerical method for solving nonlinear Hammerstein fractional integral equations. The method approximates the solution by Picard iteration ...
JSTOR Daily

Numerical Solution of Stiff and Singularly Perturbed Boundary Value Problems With a Segmented-Adaptive Formulation of the Tau Method

This is a preview. Log in through your library . Abstract This paper concerns the application of Ortiz' recursive formulation of the Tau method to the construction of piecewise polynomial ...
Simon Fraser University

Numerical Solution Methods

If the SINGLE option is not used, PROC MODEL computes values that simultaneously satisfy the model equations for the variables named in the SOLVE statement. PROC MODEL provides three iterative methods ...