https://gdpark.blog/tags/quantitative-finance/Recent content in Quantitative Finance on gdpark.blogHugoenSun, 18 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-21-crank-nicolson-finite-difference-method-fdm/Sun, 18 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-21-crank-nicolson-finite-difference-method-fdm/We wrap up FDM by tackling Crank-Nicolson — the method that splits the difference between Explicit and Implicit and turns out to be the most computationally efficient of the bunch.