This paper proposes and develops a novel, simple, widely applicable numerical approach
for option pricing based on quadrature methods. Though in some ways similar to lattice or …

The linear stability of compressible plane Couette flow is investigated. The appropriate
basic velocity and temperature distributions are perturbed by a small-amplitude normal-mode …

The exposition of the quadrature (QUAD) method (Andricopoulos, Widdicks, Duck, and
Newton, 2003. Universal option valuation using quadrature methods. Journal of Financial …

We present a study of the interaction of small amplitude, unsteady, freestream disturbances
with a shock wave induced by a wedge in supersonic flow. These disturbances may be …

This paper considers in detail a realistic mortgage valuation model (including the potential
for early prepayment and the risk of default), based on stochastic house-price and interest-…

In this paper, novel singular perturbation techniques are applied to price European, American,
and barrier options. Employment of these methods leads to a significant simplification of …

The incompressible boundary layer in the corner formed by two intersecting perpendicular
semi-infinite planes is investigated; the freestream flow, aligned with the corner, is of the form …

… The aim of the present paper is to extend the ideas of Duck et al.to three-dimensional
disturbances; indeed, little three-dimensional work of this type appears to have been undertaken in …

We consider a periodic array of relatively small roughness elements whose spanwise
separation is of the order of the local boundary-layer thickness and construct a local asymptotic …

This paper is a continuation of the work begun in Goldstein et al. (J. Fluid Mech., vol. 644,
2010, p. 123), who constructed an asymptotic high-Reynolds-number solution for the flow over …