Many nonlinear option pricing problems can be formulated as optimal control problems, leading to Hamilton–Jacobi–Bellman (HJB) or Hamilton– Jacobi–Bellman–Isaacs (HJBI) equations. We show that such ...
Description: The first part of the course focuses on numerical integration techniques and methods for ODEs. The second part concentrates on numerical methods for PDEs based on finite difference ...
Numerical Methods for PDEs; Finite element methods; Singularly perturbed boundary value problems; Iterative methods; Multigrid methods; Saddle Point Least-Squares for mixed methods; Subspace ...
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