In this article we combine the ideas of high-order (HO) and alternating direction implicit (ADI)
schemes on sparse grids for diffusion equations with mixed derivatives. With the help of HO …

In this article we combine high-order (HO) finite difference discretisations with alternating
direction implicit (ADI) schemes for parabolic partial differential equations with mixed …

This paper is concerned with the adaptation of alternating direction implicit (ADI) time
discretization schemes for the numerical solution of partial integro-differential equations …

We present modifications of the second-order Douglas stabilizing corrections method, which
is a splitting method based on the implicit trapezoidal rule. Inclusion of an explicit term in a …

Calibration of stochastic local volatility (SLV) models to their underlying local volatility model
is often performed by numerically solving a two-dimensional nonlinear forward Kolmogorov …

The structural default model of Lipton and Sepp [Credit value adjustment for credit default
swaps via the structural default model, J. Credit Risk 5 (2)(2009), pp. 123–146] is …

Abstract We consider the Modified Craig–Sneyd (MCS) scheme which forms a prominent
time stepping method of the Alternating Direction Implicit type for multidimensional time …

In this work, we study time-splitting strategies for the numerical approximation of
evolutionary reaction–diffusion problems. In particular, we formulate a family of domain …

One of the prominent alternating direction implicit (ADI) schemes for numerically pricing
financial options, the modified Craig–Sneyd scheme, is put to test for its reliability and …

In this article we consider the Modified Craig–Sneyd (MCS) scheme which forms a
prominent time-stepping method of the Alternating Direction Implicit type for …