WE have read Prof. Woolsey Johnson's work with some interest: his style is clear, and the worked-out examples well adapted to elucidate the points the writer wishes to bring out. He appears to ...

A partial differential equation (PDE) is a mathematical equation that involves multiple independent variables, an unknown function that is dependent on those variables, and partial derivatives of the ...

In this paper, we consider the numerical valuation of swing options in electricity markets based on a two-factor model. These kinds of contracts are modeled as path dependent options with multiple ...