An Introduction to Finite Diffference Methods for PDEs in Finance

I discuss in an elementary manner the practical aspects of designing monotone Finite Difference schemes for Hamilton-Jacobi-Bellman equations arising in Quantitative Finance. These are nonlinear equations for which classic Finite Difference methods may fail to converge to the correct solution. The approach based on the theory of viscosity solutions allows us to construct robust numerical approximations

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Year of publication:	2014
Authors:	Tourin, Agnes
Publisher:	[2014]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Book Chapter: Nizar Touzi, Optimal Stochastic Target problems, and Backward SDE, Fields Institute Monographs, 29, Springer, 2013, pp. 201-212 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 22, 2011 erstellt
Classification:	C63 - Computational Techniques ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013058785