Asymptotic expansion for some local volatility models arising in finance

In this paper we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the remainders. Moreover, we perform a detailed numerical analysis, with accuracy comparisons, of the obtained results by mean of the standard Monte Carlo technique as well as exploiting the polynomial Chaos Expansion approach

Difference Methods and Deferred Corrections for Ordinary Boundary Value Problems

Compact as possible difference schemes for systems of nth order equations are developed. Generalizations of the Mehrstellenverfahren and simple theoretically sound implementations of deferred corrections are given. It is shown that higher order systems are more efficiently solved as given rather than as reduced to larger lower order systems. Tables of coefficients to implement these methods are included and have been derived using symbolic computations