Numerical Methods and Optimization in Finance

List of Algorithms

1	Forward substitution	37
2	Back-substitution	38
3	Cholesky factorization	42
4	Jacobi iteration	46
5	Gauss–Seidel iteration	46
6	SOR method	48
7	General structure of iterative methods	50
8	Block Jacobi method	52
9	Factorization of tridiagonal matrix	54
10	Forward and back-substitution for tridiagonal system	54
11	Least Squares with normal equations	63
12	Pseudocode for how \ works in Matlab	68
13	θ-method	82
14	Projected successive overrelaxation (PSOR)	92
15	Explicit payout method (EP)	93
16	European call for S, X, r, σ, T, and M time steps	106
17	Testing for early exercise: An American put	110
18	American call for S, X, r, σ, T, TD, D and M time steps	112
19	Linear congruential random number generator ...