F-D Schemes for American Options

18 Março 2019, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

F-D Schemes for American Options: The problem to be approximated; Space-time discretisation; Convergence; Algorithm; Exercises.

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F-D Schemes for European Options

11 Março 2019, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

F-D Schemes for European Options: Exercises.

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F-D Schemes for European Options

7 Março 2019, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves

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

28 Fevereiro 2019, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves

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

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The Euler & The Crank-Nicolson FD Schemes For The Heat Equation

25 Fevereiro 2019, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

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

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