- This event has passed.
Centre of Financial Mathematics Seminar Series
October 5, 2017 @ 1:30 pm - 2:30 pm
Dr. Chittaranjan Mishra (Indian Institute of Technology Ropar, Punjab, India)
Analysis of a class of ADI schemes with applications to finance
Pricing contemporary financial options often require solving multidimensional partial differential equations containing mixed derivatives. As analytical solutions to these equations are rarely available, one looks for approximate numerical solutions. Alternating direction implicit (ADI) schemes are popular numerical tools to handle the task at hand. But classical ADI schemes of the Douglas type, in their original form, are less effective to solve these equations. This is so because ADI schemes were not originally designed to handle the mixed derivative terms present in the option pricing equations.
In this seminar, the speaker will present and analyze some recent ADI schemes specifically designed to solve above kind of option pricing equations. Some theoretical stability results of these schemes will be presented and the effectiveness of these schemes with their applications to actual financial problems will be demonstrated.
Please let Chi Chung Siu know if you want to join the speaker for lunch at Expresso Warriors before the seminar at 12 pm.