Lecture Computational Finance / Numerical Methods 12: Time-Discretisation of Stochastic Processes
Channel: finmath
Date: 2020-06-14

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 12: Time-Discretisation of Stochastic Processes

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

- Comment on Monte-Carlo Simulation of Stochastic Processes
- Review of Numerical Schemes
- Euler-Scheme
- Milstein-Scheme
- Predictor-Corrector-Scheme
- Log-Euler-Scheme
- Numerical Experiment: Schemes for dX = sigma X dW