The Black-Scholes model remains the 2026 gold standard for pricing trillions in derivatives. It uses five key data points: stock price, strike, time, interest rates, and volatility. This math-heavy ...

Peter was editor of The Journal of Computational Finance from 2008 to 2013. We have selected the papers in these two issues, contributed by his friends and colleagues worldwide, to reflect both the ...

Department of Mathematics and Computer Science, Faculty of Technology and Computer Science, University Iba Der Thiam of Thiès, Thiès, Senegal. 1) Establishment of sufficient conditions for existence ...

In the realm of financial mathematics, differential equations play a pivotal role in modeling and solving problems related to various financial instruments and markets. These mathematical tools are ...

We present a pseudoreversible normalizing flow method for efficiently generating samples of the state of a stochastic differential equation (SDE) with various initial distributions. The primary ...

Sequential Propagation of Chaos (SPoC) is a recent technique for solving mean-field stochastic differential equations (SDEs) and their associated nonlinear Fokker-Planck equations. These equations ...

ABSTRACT: In this paper, we investigate an SIS model with treatment and immigration. Firstly, the two-dimensional model is simplified by using the stochastic averaging method. Then, we derive the ...

Abstract: Stochastic differential equations (SDEs) have been widely used to model real world random phenomena. Existing works mainly focus on the case where the time series is modeled by a single SDE, ...

An R package for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations (SDEs). It provides users with a wide range of tools to simulate, estimate, ...