World Business StrategiesServing the Global Financial Community since 2000

This 2 day workshop will be focusing on:


  • Learn how to use finite difference methods for option pricing in practice.
  • Learn about discrete duality, stability, convergence, grid dimensioning, grid alignment, and how-to-do in practice.
  • These concepts will be introduced through experiments with a self-coded one-dimensional PDE solver.
  • Upon completion of the course, you will be ready to implement the finite difference method for standard 1D models such as

Black-Scholes, local volatility models, and the Hull-White model.

  • … and be ready to go on to harder problems, such as: stochastic local volatility, Cheyette, hybrid models and models for
  • option market making.
  • In other words: From finite difference zero to hero in two days.

DAY 2: 09.00 – 17:00

  • Code fdBwdRunner().
  • Code fdFwdRunner().
  • Work on exercises:
    • Time step convergence of the different theta schemes: implicit, explicit, crank-nicolson
    • Early exercise premium for American options: convergence and early exercise boundary.
    • Digital options.
    • Grid width and spatial convergence.
    • Discrete Dupire equation.
    • Barrier options.
  • Collect results and experiences. Discuss in class.
  • Discuss applications: traditional and some new ones.
  • Including option market making and margin modeling.
  • Have a look at a 2D solver.
  • Discount Structure
  • Special Offer
    When two colleagues attend the 3rd goes free!

  • 70% Academic Discount
    (FULL-TIME Students Only)

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