Georgia Institute of Technology Research Institute
Applied Numerical Methods in Stochastic PDEs Lead
May 2023 - present
company
Georgia Institute of Technology Research Institute
title
Applied Numerical Methods in Stochastic PDEs Lead
overview
- Spearheaded research project, utilizing risk-neutral probability, Fourier Series solutions, truncation and discretization in time and space, Jacobi & Gauss-Seidel iterations, and the Projected SOR algorithm to solve the Black-Scholes Model