Efficient Numerical Methods for Stochastic Differential Equations in Computational Finance
Committee membersAlouini, Mohamed-Slim
Gomes, Diogo A.
Permanent link to this recordhttp://hdl.handle.net/10754/625924
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AbstractStochastic Differential Equations (SDE) offer a rich framework to model the probabilistic evolution of the state of a system. Numerical approximation methods are typically needed in evaluating relevant Quantities of Interest arising from such models. In this dissertation, we present novel effective methods for evaluating Quantities of Interest relevant to computational finance when the state of the system is described by an SDE.