Apr 2015-Mar 2016

Math-Fi seminar on 3 Sep.

2015.08.31 Mon up
  • Date : 3 Sep. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Toshihiro Yamada (Hitotsubashi University)
  • Title: A weak approximation of SDEs and its related topics
  • Abstract: In this talk, we show a type of weak approximation scheme for stochastic differential equations. Moreover, we introduce a new second order method. Some numerical results for financial models are shown as examples.

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