Solving ODEs and PDEs

  • Carlos Oliveira


The solution of ODEs (ordinary differential equations) and PDEs (partial differential equations) is at the heart of many techniques used in the analysis of financial markets. Important analytical tools for derivative valuation such as the Black-Scholes model for stock options and other derivatives can be directly represented as differential equations. Such equations need to be regularly solved in order to determine the price of financial instruments traded in the global markets. This creates the need for high-performance code, capable of finding efficient solutions to these mathematical models.


Stock Option Symbolic Method Taylor Method Symbolic Technique Double Operator 
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Copyright information

© Carlos Oliveira 2015

Authors and Affiliations

  • Carlos Oliveira
    • 1
  1. 1.NJUnited States

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