Recently, a research team led by Prof. GAO Minguang and Associate Prof. LI Xiangxian from Hefei Institutes of Physical Science (HFIPS), Chinese Academy of Sciences (CAS), has developed a spectral ...

In this paper, we present a new efficient and robust framework for European option pricing under continuous-time asset models from the family of exponential semimartingale processes. We introduce ...

Fourier analysis and numerical methods have long played a pivotal role in the solution of differential equations across science and engineering. By decomposing complex functions into sums of ...

Over at Quanta Magazine [Shalma Wegsman] asks What Is the Fourier Transform? [Shalma] begins by telling you a little about Joseph Fourier, the French mathematician with an interest in heat propagation ...

Introduces methods of complex variables, contour integration, and theory of residues. Applications include solving partial differential equations by transform methods, Fourier and Laplace transforms, ...