Numerical methods

  • Andrea Pascucci
Part of the Bocconi & Springer Series book series (BS)


In this chapter we present some methods for the numerical solution of deterministic and stochastic differential equations. The numerical approximation is necessary when it is not possible to determine explicitly the solution of an equation (i.e. nearly always).


Monte Carlo Method Maximum Principle Euler Method American Option Euler Scheme 
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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Andrea Pascucci
    • 1
  1. 1.Department of MathematicsUniversity of BolognaBologna

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