Morning Session Continued
Speaker:
Peter Forsyth, University of Waterloo, Ken Vetzal, University of Waterloo
Date and Time:
Tuesday, February 26, 2002 - 10:45am to 12:00pm
Location:
Fields Institute, Room 230
Abstract:
* Nonlinearities: uncertain volatility, transaction costs
* Convergence to the viscosity solution
* Finite volume vs. forward/backward differencing
* Path dependent options: the augmented state variable approach
* Examples: Asian options, Shouts, Parisian barriers
* Software issues: a general framework
* Implementation on high-performance architectures
* Introduction to multi-factor option pricing