Developed a CUDA version of the FDTD method and achieved a speedup 40x. Implemented on a NVIDIA Quadro FX 3800 GPU, which has 192 SPs, 1GB global memory, and a memory bandwidth of 51.2 GB/s.

A new iterative method is presented for solving finite difference equations which approximate the steady Stokes equations. The method is an extension of successive-over-relaxation and has two ...

We consider the application of finite-difference methods to the numerical solution of boundary-value problems. In particular we are concerned to study the feasibility and convergence of the difference ...

According to Basel III, financial institutions have to charge a credit valuation adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one ...

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 ...

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 ...

It is a pleasure to introduce the latest issue of The Journal of Computational Finance. The first two contributions focus on using novel neural network machinery to enhance classical financial ...