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Finite difference methods and financial mathematics

Course Code :2001WETEDM
Study domain:Mathematics
Academic year:2019-2020
Semester:1st semester
Contact hours:60
Credits:6
Study load (hours):168
Contract restrictions: No contract restriction
Language of instruction:Dutch
Exam period:exam in the 1st semester
Lecturer(s)Karel In't Hout

3. Course contents *

In this course numerical processes will be discussed for time-dependent convection-diffusion equations as they arise in mathematical finance, e.g. the Black-Scholes equation. We consider the method of lines, whereby the partial differential equation is first discretized in the spatial variable with finite difference methods. The resulting system of ordinary differential equations is then discretized in time. Important properties such as stability, consistency and convergence of the discretization methods will be studied. Practical experience with the numerical processes will be obtained via the software package Matlab.