November 15 - 17, 2010
London, UK
Course Home Page - Full Course Outline - Download a Brochure (pdf)
15% 'Early Bird' Discount before October 11th, 2010
This three-day course shows how to use the Finite Difference Method (FDM) to price a range of one-factor and many-factor option pricing models for equity and interest rate problems that we specify as partial differential equations (PDEs). We introduce and elaborate modern and robust finite difference methods that solve pricing problems and that remain stable and accurate for various combinations of input parameters, payoff functions and boundary conditions.
This course discusses all aspects of option pricing, starting from the PDE specification of the model through to defining robust and appropriate FD schemes which we then use to price multi-factor PDE to ensure good accuracy and stability. The contents of the course have been updated and revised to reflect new results and developments in the field.
Course Highlights
In general, you learn how to analyse, design and assemble finite difference schemes in computational finance applications. Some of the specific skills that you learn are:
- Define an unambiguous, water-tight PDE for an option model
- Get a real understanding of finite differences, from A to Z
- Know which schemes work and when
- Apply FDM to a wide range of option pricing models
- Learn robust and accurate algorithms
- Guidelines on implementation in C++, C#, parallel and GPUs
In short, you will learn the latest developments in this field and be able to use them immediately in your own work. Source code for the models is provided.
You might also be interested in Daniel other Course: "Advanced C++ for Computational Finance'.
Finance Focus
Event Notices
