Lecture 2021 Numerical Methods: Session 25: Time-Discretisation of Stochastic Processes 2
Channel: finmath
Date: 2021-07-05

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 25: Time-Discretisation of Stochastic Processes

The second session on the time-discretisation of stochastic processes.

- Numerical Experiment: Schemes for dX = sigma X dW