ACF Lecture 8 - Finite difference methods
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ACF Lecture 8 - Finite difference methods
Applied Computational Finance Lecture 8 - Finite difference methods
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Requirements
- ACF Lecture 8 - Finite difference methods
General Overview
Description
In this lecture, we will study the popular finite difference method used to solve partial differential equations arising in finance. We will study the explicit, implicit and the mixed schemes and understand how they can be implemented in practice to solve various pricing equations.
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About the Instructor
Hi there, I am a lecturer in University of Glasgow and will be happy to contribute as an instructor. Appreciate if you could approve. Thanks! Yihan