Hot answers tagged numerical-methods
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FDMs represent PDEs over a simple grid shape; the different implementations are just different recurrence relations to approximate the solutions to the PDE between boundary values (e.g., for options pricing, $T=[t_\mathrm{now},t_\mathrm{maturity}]$ and $S=[\mathrm{deep\_itm},\mathrm{deep\_otm}])$.
FEM is a general name for a lot of different ...
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C is not used for any particular reason in numerical optimizations other than for legacy reasons. However, there are areas where C is preferred over C++ though even C is not the preferred language of choice. To mind comes programming FPGAs. Though VHDL and Verilog are by far the standards. But "behavioral synthesis" allows to utilize C or C relatives such as ...
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who told you that ? I am used to create new trade systems in C++ to make the customers requirements feasible.
CERN used C++ to prove higgs boson particle. I see people using C to program embedded like microwaves or fridges :D
but it is just my opnion, I would like to hear others.
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Have you tried a swaption having a marked to market of the notional N at t_1=retirement age?
From t_0=contract signing untill t_1, you receive the rate r_payments and pay the risk-free/investment rate. Then you pay out a predifined rate r_retirement and you pay in the risk-free/investment rate untill t_2=death time.
From your point of view, you are ...
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As far as PDEs (deterministic) are concerned we have the notion of a "strong solution" (directly solving the differential operator in the strong formulation of the problem) and the "weak solution" that deals with a weak formulation of the problem.
For the strong formulation, finite differences are the way to go since they are the natural discretization of ...
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