Sumários
ADI and splitting methods; F-D methods for Asian options
5 abril 2018, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves
ADI and splitting methods: Approximate factorisation.
F-D methods for Asian options: Asian options; Similarity reduction; Discretisation; ADI methods.
ADI and splitting methods
22 março 2018, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves
ADI and splitting methods: Motivation; ADI methods.
Exercises
19 março 2018, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves
Exercises from past exams.
Exponentially fitted F-D schemes for plain vanilla & barrier options
15 março 2018, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves
Exponentially fitted F-D schemes for plain vanilla & barrier options: Approximation of a simple linear ODE; Approximation of a BVP for an ODE; A parabolic PDE problem; The fitted discrete scheme; Application to plain vanilla European options; Application to barrier options.