15th lecture

Next digital lecture: Monday 26th of April, 12:15-15:00 in Zoom.

Update: This week I haven't had time to prepare the lecture notes for Monday, they will arrive at some point before the lecture. It's been a bit hectic! But I am planning to start the part on stochastic interest rates, which is veeeery similar to Unit-linked, so this is a nice thing!

Next lecture (15th): We will see an example for the implicit finite difference method to solve a PDE and then start stochastic interest rates. Note that when rates are stochastic, prices of bonds are then stochastic too, so we will again exploit the pricing theory we learnt in Section 8.

Homework: Review theory and look at examples. Program the explicit and implicit methods from Section 9.3. Finally, remember that the assignment has deadline 26 of April at 2 pm.