The Euler & the Crank-Nicolson FD schemes for the heat equation; F-D Schemes for European Options

3 Março 2021, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

The Euler & the Crank-Nicolson FD schemes for the heat equation: Crank-Nicolson scheme.

F-D Schemes for European Options: The problem to be approximated; Localisation error estimate; Space discretisation; Space-time discretisation; Convergence; Algorithm.

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The Euler & the Crank-Nicolson FD schemes for the heat equation

26 Fevereiro 2021, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves

The Euler & the Crank-Nicolson FD schemes for the heat equation: Euler implicit scheme.

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The Euler & the Crank-Nicolson FD schemes for the heat equation

19 Fevereiro 2021, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves

The Euler & the Crank-Nicolson FD schemes for the heat equation: Euler explicit scheme.

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Presentation of the Unit; The Euler & the Crank-Nicolson FD schemes for the heat equation

17 Fevereiro 2021, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Presentation of the Unit.

The Euler & the Crank-Nicolson FD schemes for the heat equation: Numerical differentiation; The problem to be approximated; The space-time grid; Euler explicit scheme.

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