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Thesis

Expansion methods for high-dimensional PDEs in finance

Abstract:

We develop expansion methods as a new computational approach towards high-dimensional partial differential equations (PDEs), particularly of such type as arising in the valuation of financial derivatives. The proposed methods are extended from [41] and use principal component analysis (PCA) of the underlying process in combination with a Taylor expansion of the value function into solutions to low-dimensional PDEs. They enable calculation of highly accurate approximate solutions with compu...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Research group:
Mathematical and Computational Finance Group
Oxford college:
St Catherine's College
Role:
Author

Contributors

Division:
MPLS
Department:
Mathematical Institute
Role:
Supervisor
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Publication date:
2015
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
Language:
English
Keywords:
Subjects:
UUID:
uuid:c791d5e9-dfa3-4bd1-86ec-82e29839aea9
Local pid:
ora:12442
Deposit date:
2016-04-26

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