The Euler explicit and implicit F-D schemes.

23 Março 2015, 21:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

The Euler explicit & implicit F-D schemes: The problem to be approximated; Euler explicit scheme; Euler implicit scheme.

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Finite difference methods - introduction.

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

Finite difference methods - introduction: Numerical differentiation.

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Second order linear parabolic PDEs.

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

Second order linear parabolic PDEs: The heat equation; Transforming the B-S equation to the heat equation; Solution to the IVP for the heat equation; Solution to the B-S equivalent heat equation; Solution of the B-S equation.

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Second order linear parabolic PDEs.

9 Março 2015, 21:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Second order linear parabolic PDEs: General 2nd order linear parabolic PDEs; The B-S equation; Physical & financial interpretation of the B-S equation; General versions of the B-S equation; The Lipschitz spaces; Existence-uniqueness results; The maximum principle.

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Second order ODEs. PDEs.

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

Second order ODEs: tranformations.

PDEs: Definitions; Examples; Classification w. r. to linearity; 2D 2nd order linear PDE classification; Well-posedness.

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