Solve non-linear HJB equations.

Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

a unified cross-architecture heterogeneous CFD solver

Finite-Difference Approximations to the Heat Equation. Implementation of schemes: Forward Time, Centered Space; Backward Time, Centered Space; Crank-Nicolson.

Simple (and not-so-simple) CFD solvers written in Fortran with Python plotting routines

A C++ application of the Crank Nicolson scheme for pricing dividend paying American Options by means of the Green Function

Explicit incompressible Navier-stokes solver written in C based on finite-difference schemes

Testing numerical kernels in SW4

🚀 Solve the time-dependent Schrodinger equation in unbounded domain

Solve the elliptic Poisson partial differential equation using finite difference methods.

Solutions to the Exercises from "An Introduction to MATLAB and Numerical Methods for Engineers." by Timmy Siauw and Alexandre M. Bayen

Computes finite difference matrices for the first and second derivative up to sixth order, including compact schemes

Level-Set method examples

Black Scholes Model and Heston Model

Finite Difference Method for the Multi-Asset Black–Scholes Equations

Numeric solution for the wave equation

diffuse - 3D diffusion equation solver by using finite difference method + CG method(diagonal precondition) + Crank-Nicolson method with MPI.

This code can be used to compute eigenfunctions of the infinity Laplace operator on general domains.

Finite differences simulations. Implemented with c++, mpi and matlab.