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The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems
Dissertation (MSc)--University of Pretoria, 2009.
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| Format: | Thesis |
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University of Pretoria
2013
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| _version_ | 1867613458418106368 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 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. |
| description | Dissertation (MSc)--University of Pretoria, 2009. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/28658 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:36:28.181Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/28658 The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems Mare, Eben abiebo@nedbank.co.za Bouwer, Abraham Finite differences Financial engineering Numerical analysis UCTD Dissertation (MSc)--University of Pretoria, 2009. 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 Mathematics and Applied Mathematics unrestricted 2013-09-07T14:02:14Z 2009-10-23 2013-09-07T14:02:14Z 2009-04-28 2009-10-23 2009-10-12 Dissertation 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://hdl.handle.net/2263/28658 > E1388/gm http://hdl.handle.net/2263/28658 http://upetd.up.ac.za/thesis/available/etd-10122009-193152/ © 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. application/pdf University of Pretoria |
| spellingShingle | Finite differences Financial engineering Numerical analysis UCTD The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems |
| title | The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems |
| title_full | The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems |
| title_fullStr | The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems |
| title_full_unstemmed | The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems |
| title_short | The Du Fort and Frankel finite difference scheme applied to and adapted for a class of finance problems |
| title_sort | du fort and frankel finite difference scheme applied to and adapted for a class of finance problems |
| topic | Finite differences Financial engineering Numerical analysis UCTD |
| url | http://hdl.handle.net/2263/28658 http://upetd.up.ac.za/thesis/available/etd-10122009-193152/ |