16th lecture

Next digital lecture: Monday 3rd of May, 12:15-15:00 in Zoom.

Update: New updated lecture notes with an example for the implicit method for solving Thiele's PDE and the section on stochastic interest rate, also with an example with stochastic interest rate solved by an implicit method.

Next lecture (16th): We will see an example for the implicit finite difference method to solve a PDE when interest rate is stochastic (pension insurance) and Hattendorff's theorem.

Homework: Program the explicit and implicit methods from Section 9.3 and apply some examples of your own. Read the lecture notes. Specially Section 10 and 11.