Elements of Numerical Methods for PDEs

Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter
Additional contact information
Norbert Hilber: Zurich University of Applied Sciences
Oleg Reichmann: Swiss Federal Institute of Technology (ETH)
Christoph Schwab: Swiss Federal Institute of Technology (ETH)
Christoph Winter: Allianz Deutschland AG

Chapter Chapter 2 in Computational Methods for Quantitative Finance, 2013, pp 11-25 from Springer

Abstract: Abstract In this chapter, we present some elements of numerical methods for partial differential equations (PDEs). The PDEs are classified into elliptic, parabolic and hyperbolic equations, and we indicate the corresponding type of problems that they model. PDEs arising in option pricing problems in finance are mostly parabolic. Occasionally, however, elliptic PDEs arise in connection with so-called “infinite horizon problems”, and hyperbolic PDEs may appear in certain pure jump models with dominating drift.

Keywords: Finite Element Method; Finite Difference; Heat Equation; Finite Difference Method; Finite Difference Method (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-35401-4_2

Ordering information: This item can be ordered from
http://www.springer.com/9783642354014

DOI: 10.1007/978-3-642-35401-4_2

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().