Document Type Master's Dissertation Author Bouwer, Abraham firstname.lastname@example.org 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 AbstractWe 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.
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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/ >E1388/gm
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