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:	DRNTU::Engineering::Electrical and electronic engineering
Online Access:	http://hdl.handle.net/10356/50951
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Institution:	Nanyang Technological University
Language:	English

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spelling	sg-ntu-dr.10356-509512023-07-04T16:39:56Z Alternating direction implicit finite-difference method for financial engineering Wang, Dong Tan Eng Leong School of Electrical and Electronic Engineering DRNTU::Engineering::Electrical and electronic 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 important application is quantitative finance that this dissertation will focus on. Master of Science (Communications Engineering) 2012-12-24T04:26:52Z 2012-12-24T04:26:52Z 2011 2011 Thesis http://hdl.handle.net/10356/50951 en 90 p. application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
language	English
topic	DRNTU::Engineering::Electrical and electronic engineering
spellingShingle	DRNTU::Engineering::Electrical and electronic engineering Wang, Dong Alternating direction implicit finite-difference method for financial engineering
description	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.
author2	Tan Eng Leong
author_facet	Tan Eng Leong Wang, Dong
format	Theses and Dissertations
author	Wang, Dong
author_sort	Wang, Dong
title	Alternating direction implicit finite-difference method for financial engineering
title_short	Alternating direction implicit finite-difference method for financial engineering
title_full	Alternating direction implicit finite-difference method for financial engineering
title_fullStr	Alternating direction implicit finite-difference method for financial engineering
title_full_unstemmed	Alternating direction implicit finite-difference method for financial engineering
title_sort	alternating direction implicit finite-difference method for financial engineering
publishDate	2012
url	http://hdl.handle.net/10356/50951
_version_	1772826731320705024

Alternating direction implicit finite-difference method for financial engineering

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