Difference Methods For Initial Boundary Value Problems And Flow Around Bodies

Since the appearance of computers, numerical methods for discontinuous solutions of quasi-linear hyperbolic systems of partial differential equations have been among the most important research subjects in numerical analysis. The authors have developed a new difference method (named the singularity-separating method) for quasi-linear hyperbolic systems of partial differential equations. Its most important feature is that it possesses a high accuracy even for problems with singularities such as schocks, contact discontinuities, rarefaction waves and detonations. Besides the thorough description of the method itself, its mathematical foundation (stability-convergence theory of difference schemes for initial-boundary-value hyperbolic problems) and its application to supersonic flow around bodies are discussed. Further, the method of lines and its application to blunt body problems and conical flow problems are described in detail. This book should soon be an important working basis for both graduate students and researchers in the field of partial differential equations as well as in mathematical physics.

This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety of financial derivative securities. With this objective, the book is divided into two main parts. In the first part, after an introduction concerning the basics on derivative securities, the authors explain how to establish the adequate PDE boundary value problems for different sets of derivative products (vanilla and exotic options, and interest rate derivatives). For many option problems, the analytic solutions are also derived with details. The second part is devoted to explaining and analyzing the application of finite differences techniques to the financial models stated in the first part of the book. For this, the authors recall some basics on finite difference methods, initial boundary value problems, and (having in view financial products with early exercise feature) linear complementarity and free boundary problems. In each chapter, the techniques related to these mathematical and numerical subjects are applied to a wide variety of financial products. This is a textbook for graduate students following a mathematical finance program as well as a valuable reference for those researchers working in numerical methods in financial derivatives. For this new edition, the book has been updated throughout with many new problems added. More details about numerical methods for some options, for example, Asian options with discrete sampling, are provided and the proof of solution-uniqueness of derivative security problems and the complete stability analysis of numerical methods for two-dimensional problems are added. Review of first edition: “...the book is highly well designed and structured as a textbook for graduate students following a mathematical finance program, which includes Black-Scholes dynamic hedging methodology to price financial derivatives. Also, it is a very valuable reference for those researchers working in numerical methods in financial derivatives, either with a more financial or mathematical background." -- MATHEMATICAL REVIEWS

Mathematics Research Center Symposium: Transonic, Shock, and Multidimensional Flows: Advances in Scientific Computing covers the lectures presented at a Symposium on Transonic, Shock, and Multidimensional Flows, held in Madison on May 13-15, 1981, under the auspices of the Mathematics Research Center of the University of Wisconsin. The book focuses on the advancements in the scientific computation of high-speed aerodynamic phenomena and related fluid motions. The selection first elaborates on computational fluid dynamics of airfoils and wings; shock-free configurations in two- and three-dimensional transonic flow; and steady-state solution of the Euler equations for transonic flow. Discussions focus on boundary conditions, convergence acceleration, indirect design of airfoils, and trailing edge and the boundary layer. The text then examines the calculation of transonic potential flow past three-dimensional configurations and remarks on the numerical solution of Tricomi-type equations. The manuscript ponders on the design and numerical analysis of vortex methods, shock calculations and the numerical solution of singular perturbation problems, tracking of interfaces for fluid flow, and transonic flows with viscous effects. Topics include numerical algorithm, difference approximation for scalar equations, boundary conditions, transonic flow in a tube, and governing equations. The selection is a dependable reference for researchers interested in transonic, shock, and multidimensional flows.

The Eighth International Conference on Hyperbolic Problems - Theory, Nu merics, Applications, was held in Magdeburg, Germany, from February 27 to March 3, 2000. It was attended by over 220 participants from many European countries as well as Brazil, Canada, China, Georgia, India, Israel, Japan, Taiwan, und the USA. There were 12 plenary lectures, 22 further invited talks, and around 150 con tributed talks in parallel sessions as well as posters. The speakers in the parallel sessions were invited to provide a poster in order to enhance the dissemination of information. Hyperbolic partial differential equations describe phenomena of material or wave transport in physics, biology and engineering, especially in the field of fluid mechanics. Despite considerable progress, the mathematical theory is still strug gling with fundamental open problems concerning systems of such equations in multiple space dimensions. For various applications the development of accurate and efficient numerical schemes for computation is of fundamental importance. Applications touched in these proceedings concern one-phase and multiphase fluid flow, phase transitions, shallow water dynamics, elasticity, extended ther modynamics, electromagnetism, classical and relativistic magnetohydrodynamics, cosmology. Contributions to the abstract theory of hyperbolic systems deal with viscous and relaxation approximations, front tracking and wellposedness, stability ofshock profiles and multi-shock patterns, traveling fronts for transport equations. Numerically oriented articles study finite difference, finite volume, and finite ele ment schemes, adaptive, multiresolution, and artificial dissipation methods.

First published in 1995. Routledge is an imprint of Taylor & Francis, an informa company.