SIAM Journal on Numerical Analysis, Vol. 51, No. 4 (2013), pp. 2470-2490 (21 pages) The primary aim of this paper is to answer the question, What are the highest-order five-or nine-point compact ...

Finite difference methods have become a cornerstone in the simulation of seismic wave propagation, providing a robust numerical framework to approximate the differential equations that govern seismic ...

We study the stability of finite difference schemes for hyperbolic initial boundary value problems in one space dimension. Assuming l 2 -stability for the discretization of the hyperbolic operator as ...

We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...

In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...