Browsing FGV EMAp - Dissertações, Mestrado em Modelagem Matemática by Subject "Análise numérica"

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Um método de linearização local com passo adaptativo para solução numérica de equações diferenciais estocásticas com ruído aditivo

Maio, Pablo Aguiar de
2015-07-31

In this work we present a new numerical method with adaptive stepsize based on the local linearization approach, to integrate stochastic differential equations with additive noise. We also propose a computational scheme ...
On the numerical methods for the Heston model

Teixeira, Fernando Ormonde
2017-09-29

In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, ...