The decomposition of portfolio risks in terms of the underlying assets, which are extremely important for risk budgeting, asset allocation and risk monitoring, is well described by risk contributions.

Learn how to model a wave on a string using Python and the finite difference method. This lesson connects electrodynamics, numerical methods, and wave physics by showing how a vibrating string can be ...

Finite-Difference Time-Domain (FDTD) methods have become a cornerstone in the numerical solution of Maxwell’s equations, enabling detailed electromagnetic analysis across a wide range of applications.

Developed a CUDA version of the FDTD method and achieved a speedup 40x. Implemented on a NVIDIA Quadro FX 3800 GPU, which has 192 SPs, 1GB global memory, and a memory bandwidth of 51.2 GB/s.

According to Basel III, financial institutions have to charge a credit valuation adjustment (CVA) to account for a possible counterparty default. Calculating this measure and its sensitivities is one ...

Partial differential equations (PDE) describe the behavior of fluids, structures, heat transfer, wave propagation, and other physical phenomena of scientific and engineering interest. This course ...

My main research interests are in developing, analyzing, and implementing numerical methods, in particular for solving PDEs to high orders of accuracy. Such methods include pseudospectral and high ...