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 0: Intro Video on how to set up Visual Studio C++ on Your Lap Top

DAY 1: 09.00 – 18:00

  • Introduction: The theta scheme for one dimensional partial differential equations. Derivation and formal properties.
  • Coding the different components for the theta solver.
  • Interfacing to excel and doing some basic tests:
  • Duality between backward and forward solution.
  • Stability.
  • Grid width.
  • Grid node placement and smoothing.
  • Convergence plots.
  • Discount Structure
  • Special Offer
    When two colleagues attend the 3rd goes free!

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

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