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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Bibliographic Details
Main Author: Wang, Dong
Other Authors: Tan Eng Leong
Format: Theses and Dissertations
Language:English
Published: 2012
Subjects:
Online Access:http://hdl.handle.net/10356/50951
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Institution: Nanyang Technological University
Language: English
Description
Summary: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.