A new computational method for approximating prices of zero-coupon bonds and bond option prices under general Chan–Karolyi–Longstaff–Schwartz models is proposed. The pricing partial differential equations are discretized using second-order finite difference approximations and an...

Knowledge-based regional and urban studies are plentiful; some systematics might be in order at this junction, so first the different links between economic production units in geographical space have to be clearly defined. Then a tool to represent the dynamics of those links should be selected;...

We present an effective finite difference formulation for implementing and modeling multiple borehole heat exchangers (BHE) in the general 3-D coupled heat and flow transport code SHEMAT. The BHE with arbitrary length can be either coaxial or double U-shaped. It is particularly suitable for...

In this paper we address the problem of estimating the mean derivative when the entity containing the parameter has jumps. The methods considered are finite differences, infinitesimal perturbation analysis and the likelihood ratio score function. We calculate the difference between the...

Dual scattering channel schemes extend the transmission line matrix numerical method (Johns’ TLM algorithm) in two directions. Firstly, transmission line links are replaced by abstract scattering channels in terms of paired distributions (characteristic impedances are thus neither needed, nor...

Experimental results during first and second drainage in a vertical column of saturated layered soil were compared to those predicted from simulation. The sample was composed of a sandyloam soil overlying a fine sand. The soil water content was measured by using γ-ray absorption method (<Superscript>241</Superscript>Am)...</superscript>

Incremental unknowns, earlier designed for the long-term integration of dissipative evolutionary equations, are introduced here for the incompressible Navier–Stokes equations in primitive variables when multilevel finite-difference discretizations on a staggered grid are used for the spatial...

In this paper we study a family of finite difference schemes in two dimensions to model the single phase flow of oil through heterogeneous porous media. That family depends on one parameter θ, 0 ≤ θ ≤ 1. Using a suitable order of equations and unknowns, a linear system of equations, with a...

In this paper we address the problem of estimating the mean derivative when the entity containing the parameter has jumps. The methods considered are finite differences, infinitesimal perturbation analysis and the likelihood ratio score function. We calculate the difference between the...