Читать книгу Numerical Methods in Computational Finance - Daniel J. Duffy - Страница 4

1 Chapter 2FIGURE 2.1 Continuous and discrete spaces.

2 Chapter 7FIGURE 7.1 Stencil for fully implicit scheme.FIGURE 7.2 Crank–Nicolson and fully explicit stencils.FIGURE 7.3 Trinomial tree model.FIGURE 7.4 Non-uniform mesh.

3 Chapter 11FIGURE 11.1 Region and boundary.FIGURE 11.2 Boundaries for Heston model

4 Chapter 12FIGURE 12.1 Region of integration D.

5 Chapter 13FIGURE 13.1 Mesh generation.

6 Chapter 14FIGURE 14.1 Mesh in (x, t) space.FIGURE 14.2 Special cases.

7 Chapter 15FIGURE 15.1 Padé table for .

8 Chapter 16FIGURE 16.1 Motivating divided differences.FIGURE 16.2 Region R and boundary curve C.

9 Chapter 17FIGURE 17.1 Example with three variables.FIGURE 17.2 Example with two variables.

10 Chapter 18FIGURE 18.1 Hopscotch mesh point.

11 Chapter 19FIGURE 19.1 Non-uniform mesh.FIGURE 19.2 Visualisation of ADE process.

12 Chapter 20FIGURE 20.1 Price profile.FIGURE 20.2 Delta profile.FIGURE 20.3 Gamma profile.

13 Chapter 22FIGURE 22.1 Block diagram for software framework.

14 Chapter 23FIGURE 23.1 Error handling and extreme values for the error functions.FIGURE 23.2 Context diagram for Monte Carlo engine.

15 Chapter 25FIGURE 25.1 Direction of information flow (two-dimensional case).FIGURE 25.2 Approximation on the boundary.