most citedMathematical models and numerical methods for a capital valuation adjustment (KVA) problem

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math.NA2024

Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance

J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2

We present a novel and general methodology for building second-order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two-dimensional financial parabolic P…