Szemináriumok

Adequate numerical methods for nonlinear parabolic problems in mathematical finance

Időpont: 
2017. 11. 23. 10:15
Hely: 
H306
Előadó: 
Lubin Vulkov

The prices and hedging strategies in the real financial  market models are often described by fully nonlinear versions of the standard Black-Scholes equation. We concentrate on two classes of models: first, nonlinear Black-Scholes equations in which the volatility depends on  second space derivatives of the price(=solution) and then on regime-switching models described by systems of semilinear parabolic equations with exponential nonlinearities. The following characteristic  properties of these parabolic problems are typical: unbounded domain, boundary degeneration, maximum-minimum principle and nonnegativity preservation. We develop effective discretizations that reproduce these properties.  

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