Smoothness-Increasing Accuracy-Conserving Filters for Discontinuous Galerkin Methods: Challenging the Assumptions of Symmetry and Uniformity

In this dissertation, we focus on exploiting superconvergence for discontinuous Galerkin methods and constructing a superconvergence extraction technique, in particular, Smoothness-Increasing Accuracy-Conserving (SIAC) filtering. The SIAC filtering technique is based on the superconvergence property of discontinuous Galerkin methods and aims to...

Facility Location Problems: Approximation Algorithms and Polyhedral Results

Smoothness-Increasing Accuracy-Conserving (SIAC) Postprocessing for Discontinuous Galerkin Solutions over Structured Triangular Meshes

Theoretically and computationally, it is possible to demonstrate that the order of accuracy of a discontinuous Galerkin (DG) solution for linear hyperbolic equations can be improved from order $k$+1 to 2$k$+1 through the use of smoothness-increasing accuracy-conserving (SIAC) filtering. However, it is a computationally complex task to perform...

The Heston model with term structure

The purpose of this project is to extend the Heston model in order to incorporate the term structure (TS) of the implied volatility surface. This includes implementing a TS within the Heston model and its calibration to a set of market instruments. The TS Heston model with piecewise constant parameters is implemented to match the TS and the COS...