López-Salas, José GermánSuárez-Taboada, M.Castro Díaz, Manuel JesúsFerreiro Ferreiro, Ana MaríaGarcía Rodríguez, José Antonio2024-07-222024-06-06López-Salas, J.G., Suárez-Taboada, M., Castro, M.J., Ferreiro-Ferreiro, A.M., García-Rodríguez, J.A. (2024). Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance. In: Parés, C., Castro, M.J., Morales de Luna, T., Muñoz-Ruiz, M.L. (eds) Hyperbolic Problems: Theory, Numerics, Applications. Volume II. HYP 2022. SEMA SIMAI Springer Series, vol 35. Springer, Cham. https://doi.org/10.1007/978-3-031-55264-9_13978-3-031-55263-2978-3-031-55266-3978-3-031-55264-92199-30412199-305Xhttp://hdl.handle.net/2183/38191© 2024 The Author(s), under exclusive license to Springer Nature Switzerland AG©2024 This version of the article has been accepted for publication, after peer review and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: https://doi.org/10.1007/978-3-031-55264-9_13The conference was held in Málaga, Spain, June 20-24, 2022[Abstract]: 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 PDEs with mixed derivatives. The methods achieve second order convergence even in the presence of non-regular initial conditions. The IMEX time integrator allows to overcome the tiny time-step induced by the diffusive term in the explicit schemes, also providing accurate and non-oscillatory approximations of the Greeks.engFinite volumeIMEXMathematical financeconference outputopen access10.1007/978-3-031-55264-9_13