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Mathematics Colloquium-Ivan Matic (Baruch College, CUNY), Parallel algorithms for power series approximations in finance

Ivan Matic (Baruch College, CUNY), Parallel algorithms for power series approximations in finance Power series can be an effective tool for solving differential equations.
When Sep 24, 2020
from 12:30 PM to 01:30 PM
Where Via Zoom
Contact Name
Contact Phone (212) 650-5101
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Ivan Matic (Baruch College, CUNY), Parallel algorithms for power series approximations in finance

Power series can be an effective tool for solving differential equations. We will show how the method can be used to derive efficient approximations for cumulative distribution function of the standard normal random variable. The method will be extended and used to obtain bounds for Black-Scholes implied volatility. Then we will show how to use power series to build PDE-based parallel algorithms that estimate the implied volatility.

Zoom link: https://ccny.zoom.us/j/92057419965

Zoom ID:   92057419965

 

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https://math.sci.ccny.cuny.edu/seminar/show/7

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