3 papers
q-fin.CP2025
Path-dependent option pricing with two-dimensional PDE using MPDATA
Paweł Magnuszewski, Sylwester Arabas
In this paper, we discuss a simple yet robust PDE method for evaluating path-dependent Asian-style options using the non-oscillatory forward-in-time second-order MPDATA finite-diff…
cs.DC2024★ 3 cited
Enabling MPI communication within Numba/LLVM JIT-compiled Python code using numba-mpi v1.0
Kacper Derlatka, Maciej Manna, Oleksii Bulenok +2
The numba-mpi package offers access to the Message Passing Interface (MPI) routines from Python code that uses the Numba just-in-time (JIT) compiler. As a result, high-performance…
physics.comp-ph2014
libmpdata++ 0.1: a library of parallel MPDATA solvers for systems of generalised transport equations
Anna Jaruga, Sylwester Arabas, Dorota Jarecka +3
This paper accompanies first release of libmpdata++, a C++ library implementing the Multidimensional Positive-Definite Advection Transport Algorithm (MPDATA). The library offers ba…