• 57 Pages sukha
    Sukha

    School: Rutgers

    Advanced Mathematics of Finance Honours Project: Finite-Difference Methods for Pricing the American Put Option Shameer Sukha December 10, 2001 Abstract This project provides different finite-difference methods to value the American put option on a n

  • 113 Pages me_crepey
    Me_crepey

    School: Rutgers

    COMPUTATIONAL FINANCE Stphane CRPEY, vry University, France stephane.crepey@univ-evry.fr January 9, 2007 Figure 1: DAX Index Effective Volatility, June 1 2001 Contents I Introduction and Preliminaries 7 7 7 8 9 1 Outline 2 General Set-Up 3 Accurac

  • 22 Pages Hull-BS
    Hull-BS

    School: Rutgers

    12.1 The Black-Scholes Model Chapter 12 Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull 12.2 The Stock Price Assumption Consider a stock whose price is S In a short period of time of length t, the return on the stock i

  • 33 Pages StochasticCalculus
    StochasticCalculus

    School: Rutgers

    STA 2502 / ACT 460 : Stochastic Calculus Main Results 2006 Prof. S. Jaimungal Department of Statistics and Mathematical Finance Program University of Toronto Brownian Motion A stochastic process Wt is called a Brownian motion (or Wiener process) if

  • 48 Pages lecture34
    Lecture34

    School: Rutgers

    Lecture 34 - Ordinary Differential Equations - BVP CVEN 302 November 28, 2001 Systems of Ordinary Differential Equations - BVP Shooting Method for Nonlinear BVP Finite Difference Method Partial Differential Equations Shooting Method for Nonlinea

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