Springerlink thesis

The first part of the thesis is concerned with the behaviour of a numerical PDE solution when the initial condition is not smooth. The second part of the thesis develops computational PDE methods for option pricing problems with stochastic correlation. In the first part of this thesis, we provide an analysis of the error arising from a non-smooth initial condition when solving a pricing problem with a finite difference method. We build our framework on the sharp error estimate in Giles and Carterand study three types of non-smoothness that are of financial interest.

Springerlink thesis

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Springerlink thesis

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``Techniques for software renovation'' (Siff thesis) ``Generating Language-Based Environments'' (Reps thesis) [Back to the top] Incremental Computing ``View-augmented abstractions'' ``Finite differencing of logical formulas for static analysis'' (also ``Finite differencing of .

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Springerlink thesis

Please contact Shahzad Ghahreman (ext. ) for more information or an appointment. The thesis includes applications of the FST framework-based methods to a wide range of option pricing problems. Pricing of single- and multi-asset, European and path-dependent options under independent-increment exponential Levy stock price models, common in equity and insurance markets, can be done efficiently via the cornerstone FST method.

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