1 / 7

Structure of Course

Structure of Course. Incremental approach Build on expertise already gained Start with model problems; understand thoroughly Generalise to more advanced and difficult problems. Course Buildup. Block 1: Basics of PDE and numerical methods Block 2: FDM for one-factor Black-Scholes PDE model

afia
Download Presentation

Structure of Course

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Structure of Course • Incremental approach • Build on expertise already gained • Start with model problems; understand thoroughly • Generalise to more advanced and difficult problems

  2. Course Buildup • Block 1: Basics of PDE and numerical methods • Block 2: FDM for one-factor Black-Scholes PDE model • Block 3: FDM for two-factor models • Block 4: Advanced issues • Block 5: Algorithms

  3. Block 1 • Classification of options and PDE • Motivating FDM for ODE and SDE • Method of Lines • Standard difference schemes for Black Scholes

  4. Block 2 • Special schemes for special problems • Approximating the Greeks • Comparing FDM with binomial and trinomial methods • How good are our schemes?

  5. Block 3 • ADI and splitting method for two-factor models • Stability and convergence • Applications in financial engineering • Comparisons with other methods

  6. Block 4 • An introduction to parabolic variational inequalities (PVI) • Numerical solution of PVI • An introduction to spectral methods • An introduction to Finite Element Method (FEM)

  7. Block 5 • Algorithms and documentation • Mapping algorithms to code • Performance • Coupling with Excel

More Related