<t>Ah that may be the sort of thing I want! I'm not sure if this will actually make my quadrature rule any better but it's a continuous approximation to the characteristic function which is what I've been looking for.Well I may have overstated how important my work is in order to get more replies: i...

<t>Dear all,The context of my problem is the numerical solution of an elliptic boundary value problem on [-1,1]^2 with zero Neumann boundary conditions (if you're interested I'm solving the Helmholtz equation) using a meshfree method with radial basis functions. If you don't know much about meshfree...

The EPSRC (UK's science funding council) have introduced mathematics doctoral training centres, namely:Cambridge CCAandWarwick MASDOCBoth of which have an extensive taught component in the first year of a four year PhD. Looks like the UK is slowly moving towards the US PhD model.

<r>Same with EPFL: <URL url="http://sif.epfl.ch/page83173.htmlTheir">http://sif.epfl.ch/page83173.htmlTheir</URL> masters program is two years long and you can do a 6 month thesis as part of an internship, but I guess you could start working on it during the summer between the first and second year....

<t>You're far more likely to find a masters which offers a one year long project in continental Europe, they're not very common in the UK.In Switzerland, you've got EPFL Lausanne and ETH Zurich who offer such projects I believe. They are both (mostly) taught in English so well worth considering.What...

<t>I'm currently at Oxford so I know the methematical and computational finance program a little bit. Some really good people involved in the teaching of the masters (Mike Giles, Terry Lyons and the likes) and many seminars in fin maths take place every week so great environment. Shame it's so ridic...

<t>It looks pretty good: two years long, gives you a broad grounding in financial maths and you get to do a 6 month internship I think. So very good value for money and Lausanne is a nice city to live in. There's a good chance I'll be doing my PhD at EPFL in September (numerical analysis/scientific ...

<t>Hello everyone,I have never programmed in C++ before and have only used Matlab (albeit quite extensively) in the past. Just came across this book on Amazon: C++ and Object-oriented Numeric Computing for Scientists and Engineers by Daoqi Yang. My background is in applied mathematics and numerical ...

Sorry I meant the transformed payoff function i.e. the initial condition for the heat equation:u(x,0) = max(exp(0.5*(k-1)*x)-exp( 0.5*(k+1)*x , 0).

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: AlanWell, there are two distinct issues. One is simply showing that the continuumproblem is well-posed for initial conditions that are integrable w.r.t. a Gaussian.That seems 'obvious', but if you want some authority, see Karatzas an...

QuoteOriginally posted by: AlanTo make it true, I believe all you need is an initial condition that is integrable with respect to a Gaussian (the heat kernel), and your is.Thank you both for the advice!Alan, would you know where I can find a reference detailing this?

<t>Hi Alan, trank you for your reply! My target has slightly changed compared to when I wrote my first post. But here's the problem:I want to approximate the solution of the heat equation define on the infinite domain -\infty < x < \infty. The error introduced by truncating the infinite mesh will be...

If you're interested in becoming a quant, why aren't you doing a more relevant masters? Your course seems tailored for those who want to stay in academia.

<t>I thought I'd also add that what I am ultimately trying to do is solve the heat equation numerically (for which I require boundary conditions!) using an iterative method, convert back to financial variables and compare the result with the well known EXACT expression for a European call i.e.C(S,t)...

<t>Hello everyone,As indicated by the title, I am intrested in reducing the Black-Scholes PDE for a call option to the heat equation as done by Wilmott in "The Mathematics of Financial Derivatives: A Student Introduction". My problem is as follows:The Black-Scholes PDE for a European Call has bounda...