Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
Printable PDF file
I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
1. Finite differences.
A. Finite difference basics.
B. One dimensional heat equation.
C. Two dimensional heat equation.
D. General techniques for reduction of dimensionality.
a. Stabilization.
b. Predictor-corrector.
c. Separation of variables for Crank-Nicolson scheme.
E. Time dependent case.
2. Gauss-Hermite Integration.
3. Asymptotic expansions.
4. Monte-Carlo.
5. Convex Analysis.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

Separation of variables for Crank-Nicolson scheme.


uppose the KN scheme MATH approximates the original equation with order 2. Note that MATH Hence, the scheme MATH also approximates with order 2. We make the change of function MATH then MATH and the stability follows from the Kelly theorem provided that MATH





Notation. Index. Contents.


















Copyright 2007