Recent decades have witnessed a bloom in research at the interface of complex geometry and nonlinear partial differential equations. This interdisciplinary field explores the deep and intricate ...

We derive a partial differential equation (PDE) representation for the value of financial derivatives with bilateral counterparty risk and funding costs. The model is very general in that the funding ...

Sometimes, it’s easy for a computer to predict the future. Simple phenomena, such as how sap flows down a tree trunk, are straightforward and can be captured in a few lines of code using what ...