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Description:
Tino Kluge
Contents
1 Introduction 3
2 Stochastic model 5
2.1 Stochastic volatility models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 Valuation of derivatives using the p.d.e. approach . . . . . . . . . . . . . . . . . . . 6
3 Analysis of parabolic p.d.e.s 11
3.1 The convection-di