On a High Order Numerical Method for Mathematical Models inFinancial Engineering
碩士 === 國立臺灣大學 === 數學研究所 === 100 === The aim of this thesis is to address some mathematical issues on the application of pseudo spectral method on several important models in financial engineering, such as scope of application, speed of convergence, numerical stability, etc. This method has been prov...
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| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/88505881659190792944 |
| Summary: | 碩士 === 國立臺灣大學 === 數學研究所 === 100 === The aim of this thesis is to address some mathematical issues on the application of
pseudo spectral method on several important models in financial engineering, such as
scope of application, speed of convergence, numerical stability, etc. This method has
been proven superior with respect to the traditional ones especially for problems with
special boundary conditions.
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