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Numerical solution to a nonlocal and nonlinear Black-Scholes model by discrete mollification

Published in Revista Colombiana de Matemáticas, 2017

In this paper, we study a nonlinear nonlocal Black-Scholes model by means of the methods of finite differences, numerical integration and discrete mollification. In this model, conditions for stability and convergence of the discretization proposed are discussed.

Recommended citation: L. Aguirre, H. Contreras and C.D. Acosta (2017). " Numerical solution to a nonlocal and nonlinear Black-Scholes model by discrete mollification " (in Spanish); Revista Colombiana de Matemáticas 51(2), pp.195-220. http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0034-74262017000200195&lng=en&nrm=iso

talks

teaching

2016, Universidad de Caldas

Instructor, Universidad de Caldas, Manizales, Colombia, 2016

  • Differential and Integral Calculus
  • Descriptive Statistics

2016-2021, McMaster University

Teaching Assistant, McMaster University, Hamilton, ON, Canada, 2016

  • Introduction to Differential Equations (2C03)
  • Engineering Mathematics II (1ZB3)

2017-2021, McMaster University

Instructor, McMaster University, Hamilton, ON, Canada, 2017

  • Introduction to Differential Equations (2C03)
  • Engineering Mathematics II (1ZB3)

2022-2023, Valdosta State University

Assistant Professor (tenure-track), Valdosta State University, Valdosta, GA, USA, 2022

  • Analytic geometry & Calculus I (MATH 2261)
  • Analytic geometry & Calculus II (MATH 2262)
  • Introduction to Linear Algebra (MATH 2150)
  • Numerical Analysis (MATH 4561)
  • Introduction to Mathematical Modeling (MATH 1101 online)

2023-2024, Lakehead University

Limited term Assistant Professor, Lakehead University, Barrie, ON, Canada, 2023

  • Calculus I for Engineers (MATH 1210)
  • Matrix Methods and Differential Equations (MATH 2090)
  • Vector Analysis (MATH 3012)