Lecture 2021 Numerical Methods: Session 24: Time-Discretisation of Stochastic Processes 1
Channel: finmath
Date: 2021-07-03

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 24: Time-Discretisation of Stochastic Processes

The first session on the time-discretisation of stochastic processes giving the definition of some popular numerical schemes.

- Review of Numerical Schemes
- Euler-Scheme
- Milstein-Scheme
- Predictor-Corrector-Scheme
- Log-Euler-Scheme