smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2024SMQ / 58333022968528
A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance
A. M. Ferreiro-Ferreiro / J. A. García-Rodríguez / J. G. López-Salas / M. J. Castro / M. Suárez-Taboada
numerical methods / partial differential equationsResource overview

A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance

Paper2024

by A. M. Ferreiro-Ferreiro, J. A. García-Rodríguez, J. G. López-Salas, M. J. Castro, M. Suárez-Taboada

Tags
numerical methodspartial differential equations

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for optimisation and numerical methods and options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  2. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

  3. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  4. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

  2. Numerical Conditioning and Stability

    Separate model error from unstable numerical computation.

  3. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Linear Algebra, Optimisation and Numerical Methods Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

A. M. Ferreiro-Ferreiro, J. A. García-Rodríguez, J. G. López-Salas, M. J. Castro, M. Suárez-Taboada

2