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Illustration of stochastic processes and the finite difference method in finance

The presentation shows sample paths of stochastic processes in form of animations. Those stochastic procsses are usually used to model financial quantities like exchange rates, interest rates and stock prices.
In the second part the solution of the Black-Scholes PDE using the finite difference method is illustrated. / Der Vortrag zeigt Animationen von Realisierungen stochstischer Prozesse, die zur Modellierung von Groessen im Finanzbereich haeufig verwendet werden
(z.B. Wechselkurse, Zinskurse, Aktienkurse).
Im zweiten Teil wird die Loesung der Black-Scholes
Partiellen Differentialgleichung mittels Finitem Differenzenverfahren graphisch veranschaulicht.

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Identiferoai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:17958
Date22 January 2003
CreatorsKluge, Tino
PublisherTechnische Universität Chemnitz
Source SetsHochschulschriftenserver (HSSS) der SLUB Dresden
LanguageEnglish
Detected LanguageEnglish
Typedoc-type:lecture, info:eu-repo/semantics/lecture, doc-type:Text
Rightsinfo:eu-repo/semantics/openAccess

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