Studies properties and solutions of partial differential equations. Covers methods of characteristics, well-posedness, wave, heat and Laplace equations, Green's functions, and related integral ...

The boundary element method (BEM) provides a robust framework for solving linear partial differential equations by transforming the problem domain into integrals over its boundary. This technique is ...

In this paper I develop a new computational method for pricing path-dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform ...