Exercises

12 Março 2018, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Exercises: F-D schemes for European and American options; Richardson's extrapolation.

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F-D schemes for American options; Richardson's extrapolation

8 Março 2018, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves

F-D schemes for American options: The problem to be approximated; Space-time discretisation; Convergence; Algorithm.

Richardson's extrapolation: General statement of the problem; Generating the extrapolation formula; The case of even powers of h.

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F-D schemes for European options

1 Março 2018, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves

F-D schemes for European options: The problem to be approximated; Localisation error estimate; Two-step space and time discretisation; Convergence; Algorithm.

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The Euler & the Crank-Nicolson F-D schemes for the heat equation

26 Fevereiro 2018, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

The Euler & the Crank-Nicolson F-D schemes for the heat equation: The Euler implicit scheme; The Crank-Nicolson scheme.

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The Euler & the Crank-Nicolson F-D schemes for the heat equation

22 Fevereiro 2018, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves

The Euler & the Crank-Nicolson F-D schemes for the heat equation: Numerical differentiation; The Euler explicit scheme.

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