Runge--Kutta methods in financial engineering

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Mishchenko, Kateryna (författare): Mälardalens högskola,Akademin för utbildning, kultur och kommunikation,MERO

(creator_code:org_t)

Västerås : Mälardalen University, 2011
2011
Engelska.
Ingår i: Exploring the world of financial engineering. - Västerås : Mälardalen University. ; , s. 66-79

Abstract Ämnesord

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Nowadays, a number of mathematical problems that pertain to the area of financial engineering are formulated and solved through the systems of ordinary differential equations. Apart from that, it appears to be impossible to derive close form solutions for some of those systems. Therefore,numerical methods for solving differential equations are a unique tool for finding approximate solutions. The paper is devoted to some of the most common and well-studied numerical method, namely a family of explicit Runge--Kutta methods. The paper touches upon both theoretical aspects such as derivation of Runge--Kutta schemes of 2- 4 order of accuracy, and the numerical implementation of the Runge--Kutta method for approximating a solution of some specific problem in financial engineering.

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