Sumários
ADI and Splitting Methods & F-D Methods for Asian Options
2 Abril 2019, 13:00 • Fernando Manuel Rodrigues Ferreira Gonçalves
ADI and splitting methods: Motivation; ADI methods; Approximate factorisation; Exercises. Asian options: Notion; Similarity reduction; Discretisation; ADI methods,
Exponentially Fitted F-D Schemes for Plain Vanilla and Barrier Options
28 Março 2019, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves
Exponentially fitted F-D schemes for plain vanilla and 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; Exercises.
Richardson's Extrapolation
25 Março 2019, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves
Richardson's extrapolation; Exercises.
Richardson's Extrapolation
21 Março 2019, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves
Richardson's Extrapolation: General statement of the problem; Generating the extrapolation formula; The case of even powers of h; Exercises.