The modelling of financial markets as continuous stochastic processes provides the means to analyse the implications of models and to compute prices for a host of financial instruments. We code as a symbolic computing program the analysis, initiated by Black, Scholes and Merton, of the formation of a partial differential equation whose solution is the value of a derivative security, from the sp...

The Cahn–Hilliard equation plays an important role in the phase separation in a binary mixture. This is a fourth order nonlinear partial differential equation. In this paper, we study the behaviour of the solution by using orthogonal cubic spline collocation method and derive optimal order error estimates. We discuss some computational experiments by using monomial basis functions in the spatia...

A numerical approximation of the initial-boundary system of nonlinear hyperbolic equations based on spectral collocation method is presented in this article. A Chebyshev-Gauss-Radau collocation (C-GR-C) method in combination with the implicit RungeKutta scheme are employed to obtain highly accurate approximations to the mentioned problem. The collocation points are the Chebyshev interpolation n...

It is well known that integration formulas of precision 2fc (2fc + 1) for a region in n-space which is a Cartesian product of intervals can be obtained from onedimensional Radau (Gauss) rules. The number of function evaluations in these product cubatures is (fc + 1) . In this paper, an algorithm is given for obtaining cubatures for hyperrectangles in n-space of precision 2fc, in many instances ...

We present a new reduced scaling multireference singles and doubles configuration interaction ~MRSDCI! algorithm based upon the combination of local correlation and pseudospectral methods. Taking advantage of the locality of the Coulomb potential, the weak-pairs approximation of Saebo” and Pulay is employed to eliminate configurations having simultaneous excitations out of pairs of distant, wea...