QuoteOriginally posted by: trackstarLet's update/replace ADI and Crank Nicolson. As practitioners are well-aware, both methods have their strengths, but they have weaknesses as well.**CuchulainntrackstarNext steps:Define ADIDefine Crank NicolsonPoint out strengths of each.Point out weaknesses of each.Provide specific examples of usage where strengths shine and where weaknesses are exposed.Discuss work by other authors/researchers/practitioners in both areas. (Light literature review).Develop case for the alternatives to ADI and C-N.Highlight the best options, showing any drawbacks or unresolved shortcomings with them.Conclude by reiterating the utility of ADI and C-N to quant finance, how developments beyond them are desirable, and indicate further directions that this critical work may take.I'll be happy to cover C-N if Cuch would like to take ADI. But so far this is only two authors - falling far from the objective.So I would invite readers to add anything they like, even absurdities, and I will tailor them to fit the theme.
Last edited by trackstar
on August 10th, 2015, 10:00 pm, edited 1 time in total.