Financial Modelling
Options Pricing using Fastflo
We have recently been developing applications to the pricing of
options and other financial derivatives. The probabilistic models used
for describing the price behaviour of traded assets lead naturally, in
many cases, to a continuum model involving partial differential
equations (PDEs). These are frequently accompanied by the numerical
difficulties of high advection, low diffusivity (volatility) which are
familiar in computational fluid dynamics (CFD). In addition, with the
growing sophistication of the market, special and quite complex boundary
conditions may be prescribed. There is a growing recognition not only
that the PDE approaches are efficient general purpose methods but that
of these the finite element method may be the best in terms of accuracy
and versatility.
Fastflo, with its language environment, represents a natural way
of expressing these various problems, and its evolution as a tool for
CFD equips it to handle the numerical complexities.
Presentations
Case Studies
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