On the convergence of approximation schemes for equations arising in Finance

On the convergence of approximation schemes for equations arising in Finance

Fri, 19/11/2010
14:15 		Guy Barles (Universite Francois Rablelais) Nomura Seminar Add to calendar DH 1st floor SR
On the convergence of approximation schemes for equations arising in Finance
Abstract: describe several results on the convergence of approximation schemes for possibly degenerate, linear or nonlinear parabolic equations which apply in particular to equations arising in option pricing or portfolio management. We address both the questions of the convergence and the rate of convergence.