Ensimag Rubrique Formation 2022

Advanced numerical methods in finance

  • 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.