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Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach

June 16th, 2022, 1:49 pm

New interesting thick book by Duffy that I am reading a bit in now,

Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach

"This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners, novices and expert users."



 
 
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Cuchulainn
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Re: Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach

June 16th, 2022, 5:39 pm

Your Big Options Books was a great source of examples. Tusen takk!
 
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Re: Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach

June 16th, 2022, 7:29 pm

Nice to hear sir!
 
 
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Cuchulainn
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Re: Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach

October 15th, 2022, 2:28 pm

I actually really like this volatility anchoring approach from when I first saw it. I think it has broader applications in derivative products as well as modelling.

Anon