Sumários
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.
F-D Schemes for European Options
11 Março 2019, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves
F-D Schemes for European Options: Exercises.
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.
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.
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.