QuoteOriginally posted by: vandervoltAlan,I think you are correct about the Matlab 2D PDE toolbox (ie not supporting advection/diffusion equation in 2D). So I don' think anyone will give you an answer to your Heston model test case.Yes, agree - I am not holding my breath. p.s. Regarding elliptic problems, we had an interesting thread in the Numerical forum about that.As we also agree, the ones that occur in finance have very simple boundaries, usually rectangular.At first, because Mathematica's NDSolve does not support elliptical problems, I went searching elsewhereto solve a particular problem I was interested in. Found FreeFem++; however this proved disappointing on this problem (see the thread) and I finally ended up simply goingback to Mathematica and setting it up as the stationary limit of a parabolic problem, which NDSolve can handle. Since, as you point out, Matlab apparently does have an FEM toolbox, again disappointing to not seeany Matlab users chime in to that thread with a quick toolbox result. So, here is a second challenge to the Matlab folks. Use the Matlab FEM toolbox to solvethe elliptic problem discussed in the linked thread. It is theultimate hitting probability of the stock price to S=0 in the (beta=0) SABR model.The pde operator, boundary conditions, and exact solution are given in the thread.Post a brief summary of your methods in the Numerical Methods forum.
Last edited by Alan
on June 4th, 2010, 10:00 pm, edited 1 time in total.