منابع مشابه
Non uniform grids for PDE in finance∗
In this paper, the authors consider non uniform grids to solve PDE in finance. The origin of the problem comes of the fact that computing value-at-risk every day is time-consuming when several options are priced with nite di erence methods. One of solution is then to use smaller discretization points. In this case, non uniform grids can then be used to solve PDE with better accuracy than unifor...
متن کاملPDE for Finance Notes
Reminder concerning the final: The exam will be Tuesday May 9, at the usual class time. It will be “closed-book” (no books, no lecture notes), however you may bring two sheets of notes (8.5 × 11, both sides, write as small as you like). You are responsible for the material in Sections 1-6 of the lecture notes, and in Homeworks 1-6. See the separate handout for further discussion of what to expe...
متن کاملFinite-Grid Instability in Non-Uniform Grids
The use of a discretization grid in particle-in-cell methods is responsible for the nite-grid instability. The instability is a spurious numerical e ect due to the aliasing of di erent Fourier modes, that are undistinguished by the computational grid but have di erent e ects on the particles. The nite-grid instability has been studied thoroughly in uniform grids [1, 2]; a linear theory has been...
متن کاملPde for Finance Notes – Section 7 Notes
Discrete-time dynamic programming. This section achieves two goals at once. One is to demonstrate the utility of discrete-time dynamic programming as a flexible tool for decision-making in the presence of uncertainty. The second is to introduce some financiallyrelevant applications. To achieve these goals Section 7 presents three examples: (1) optimal control of execution costs (following a pap...
متن کاملPDE for Finance Notes – Stochastic Calculus Review
The material presented here is covered in the books by Neftci (An Introduction to the Mathematics of Financial Derivatives), or Chang (Stochastic Optimization in Continuous Time). Deeper treatments can be found for example in Shreve (Stochastic Calculus for Finance II), Steele (Stochastic Calculus and Financial Applications), and Oksendal (Stochastic Differential Equations: an Introduction with...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2000
ISSN: 1556-5068
DOI: 10.2139/ssrn.1031941