Lecture 2022-1 (21): Numerical Methods: Time Discretization of Stochastic Processes 1
Channel: finmath
Date: 2022-07-12

Lecture 2022-1: Session 21: Numerical Methods for Mathematical Finance: Time Discretization of Stochastic Processes 1

- Recapitulation:
  - Brownian Motion
  - Itô-Processes

- Euler-Scheme

- Milstein-Scheme

- Predictor-Corrector Scheme