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Practical C++ Financial Programming by Carlos Oliveira

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CHAPTER 11

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Solving ODEs and PDEs

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.

Due to the large ...

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