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 |
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2012
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| Online Access: | http://hdl.handle.net/10356/50951 |
| _version_ | 1811686304647217152 |
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| author | Wang, Dong |
| author2 | Tan Eng Leong |
| author_facet | Tan Eng Leong Wang, Dong |
| author_sort | Wang, Dong |
| collection | NTU |
| description | 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. |
| first_indexed | 2024-10-01T04:58:18Z |
| format | Thesis |
| id | ntu-10356/50951 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T04:58:18Z |
| publishDate | 2012 |
| record_format | dspace |
| spelling | ntu-10356/509512023-07-04T16:39:56Z Alternating direction implicit finite-difference method for financial engineering Wang, Dong Tan Eng Leong School of Electrical and Electronic Engineering DRNTU::Engineering::Electrical and electronic 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 important application is quantitative finance that this dissertation will focus on. Master of Science (Communications Engineering) 2012-12-24T04:26:52Z 2012-12-24T04:26:52Z 2011 2011 Thesis http://hdl.handle.net/10356/50951 en 90 p. application/pdf |
| spellingShingle | DRNTU::Engineering::Electrical and electronic engineering Wang, Dong Alternating direction implicit finite-difference method for financial engineering |
| title | Alternating direction implicit finite-difference method for financial engineering |
| title_full | Alternating direction implicit finite-difference method for financial engineering |
| title_fullStr | Alternating direction implicit finite-difference method for financial engineering |
| title_full_unstemmed | Alternating direction implicit finite-difference method for financial engineering |
| title_short | Alternating direction implicit finite-difference method for financial engineering |
| title_sort | alternating direction implicit finite difference method for financial engineering |
| topic | DRNTU::Engineering::Electrical and electronic engineering |
| url | http://hdl.handle.net/10356/50951 |
| work_keys_str_mv | AT wangdong alternatingdirectionimplicitfinitedifferencemethodforfinancialengineering |