Abstract

The paper presents a method for simulating the flow of a viscous compressible gas around a moving obstacle, specified by the immersed boundary method on a simply connected unstructured mesh, and the features of its application for bodies of different configuration. An advantage [...]

Abstract

The Fokker-Planck partial differential equation is used to compute the probability density function of the Heston stochastic local volatility model. The solution of the Fokker Planck equation is required for the calibration of the leverage function, which plays an important role in [...]