Richardson’s extrapolation.

20 Abril 2015, 21:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

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

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F-D schemes for American options.

16 Abril 2015, 20:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

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

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F-D schemes for European options.

9 Abril 2015, 20:00 • 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.

LU decomposition of a matrix: algorithm coding.

F-D schemes for the IBVP for the heat equation: algorithm coding.

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Binomial methods for American options.

8 Abril 2015, 18:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Binomial methods for American options: Some important relations; The American put valuation problem; Binomial methods for American options.

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The Crank-Nicolson F-D scheme. Binomial methods for European options.

26 Março 2015, 20:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

The Crank-Nicolson F-D scheme.

Binomial methods for European options: Construction of the discrete random walk; The binomial tree of asset prices; Valuing a European option.

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