Title page for ETD etd-10122009-193152


Document Type Master's Dissertation
Author Bouwer, Abraham
Email abiebo@nedbank.co.za
URN etd-10122009-193152
Document Title The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems
Degree MSc
Department Mathematics and Applied Mathematics
Supervisor
Advisor Name Title
Prof E Mare Supervisor
Keywords
  • finite differences
  • financial engineering
  • numerical analysis
Date 2009-04-28
Availability unrestricted
Abstract
We consider the finite difference method applied to a class of financial problems. Specifically, we investigate the properties of the Du Fort and Frankel finite difference scheme and experiment with adaptations of the scheme to improve on its consistency properties.

The Du Fort and Frankel finite difference scheme is applied to a number of problems that frequently occur in finance. We specifically investigate problems associated with jumps, discontinuous behavior, free boundary problems and multi dimensionality. In each case we consider adaptations to the Du Fort and Frankel scheme in order to produce reliable results.

Copyright 2008, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.

Please cite as follows:

Bouwer, A 2008, The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-10122009-193152/ >

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