Illustration of stochastic processes and the finite difference method in finance

Description

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.

Links & Downloads

1. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200300079
2. urn:nbn:de:bsz:ch1-200300079
3. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/index.html
4. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/S_0.gif
5. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/brownian_geom.mpg
6. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/brownian_geom.txt
7. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/brownian_motion.mpg
8. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/bs_sde.gif
9. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/bs_sol.gif
10. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/cox-ross-k10.mpg
11. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/cox-ross-k3.mpg
12. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/cox-ross.gif
13. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/cox-ross.txt
14. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-cn-100.mpg
15. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-expl-320.mpg
16. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-expl-330.mpg
17. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-expl-nolog-160.mpg
18. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-expl-nolog-170.mpg
19. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-expl-nolog-200.mpg
20. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-expl-nolog-300.mpg
21. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-nu-cn.mpg
22. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-nu-expl.mpg
23. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-nu-mixed.mpg
24. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-nu-mixed2.mpg
25. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fdm-nu-mixed3.mpg
26. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fin_diff.pdf
27. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fin_diff.png
28. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/fin_diff_pause.pdf
29. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/hull-white-k10.mpg
30. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/hull-white-k3.mpg
31. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/hull-white.gif
32. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/hull-white.txt
33. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/jump-fx.mpg
34. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/jump-fx.txt
35. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/jump-share.mpg
36. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/jump-share.txt
37. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/jump_sde.gif
38. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/jump_share.gif
39. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/kappa10.gif
40. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/kappa3.gif
41. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/lambda4.gif
42. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/mu.gif
43. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/mu_jump-01.gif
44. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/mu_jump0.gif
45. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/sigma.gif
46. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/sigma_jump01.gif
47. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/sigma_jump02.gif
48. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/theta.gif
49. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/xi_c.gif
50. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/data/xi_h.gif
51. http://www.qucosa.de/fileadmin/data/qucosa/documents/4639/20030007.txt

Tags

ddc:510

Animation

Black-Scholes-Modell

Finite-Differenzen-Methode

Pfad <Mathematik>

Stochastik

Stochastischer Prozess

Additional Fields

Identifer	oai:union.ndltd.org:DRESDEN/oai:qucosa.de:bsz:ch1-200300079
Date	22 January 2003
Creators	Kluge, Tino
Contributors	TU Chemnitz, Fakultät für Mathematik
Publisher	Universitätsbibliothek Chemnitz
Source Sets	Hochschulschriftenserver (HSSS) der SLUB Dresden
Language	English
Detected Language	English
Type	doc-type:lecture
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