Number of hours
- Lectures 18.0
ECTS
ECTS 1.75
Goal(s)
Contact Jérôme LELONG
Content(s)
Prerequisites
Test
Give kind of exam for session 1 and session 2: written, allowed documents or not, oral, practical work, reports, plan, vivas
N1= note de projet
pas de session 2 (projet non rattrapable)
Additional Information
Curriculum->For Financial Engineering->Semester 5
Bibliography
I. J. D. Craig & A. D. Sneyd, An alternating-direction implicit scheme for parabolic equations with mixed derivatives, Comp. Math. Appl. 16 (1988) 341–350.
F. Longstaff, and E. S. Schwartz, “Valuing american options by simulation: a simple least squares approach,” The Review of Financial Studies vol. 14 pp. 113–147, 2001.