Alternating direction implicit finite-difference method for financial engineering
Finite difference method (FDM) is widely used to solve partial differential equations (PDE), for example, heat equation is one of the most important differential equations in mathematical physics that can be solved by FDM. One great application of FDM is computational electromagnetic. Another import...
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| Format: | Thesis |
| Language: | English |
| Published: |
2012
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| Online Access: | http://hdl.handle.net/10356/50951 |
| Summary: | Finite difference method (FDM) is widely used to solve partial differential equations (PDE), for example, heat equation is one of the most important differential equations in mathematical physics that can be solved by FDM. One great application of FDM is computational electromagnetic. Another important application is quantitative finance that this dissertation will focus on. |
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