Event Information:

• Thu

  02

  Jul

  2026

  SC Seminar: Faezeh Nassajian Mojarrad

  10:15Hybrid (Room 32-349 and via Zoom)

  M.Sc. Faezeh Nassajian Mojarrad, Max Planck Institute for Software Systems, Kaiserslautern

  Title: The Two-Step Stochastic Quadratic Method: A New Approximation Scheme for Solving SDEs
  

  Abstract:

  Solving Itô stochastic differential equations (SDEs) accurately is a persistent challenge in applied mathematics and quantitative modeling in finance, particularly in finance. In this seminar, we first discuss the applications of SDEs in finance before introducing a novel numerical framework: the Two-Step Stochastic Quadratic Method. Unlike standard step-by-step approaches, our method advances the solution by iteratively computing the unknown function across pairs of future time points, utilizing quadratic polynomial approximations over subdivided time intervals. We will explore the theoretical foundations of this new scheme, detailing the rigorous analysis of its convergence, consistency, and stability. Finally, through applied numerical experiments, we will demonstrate that this approach delivers superior accuracy when benchmarked against classic baseline techniques such as the Euler-Maruyama and Milstein schemes.

  How to join online

  You can join online via Zoom, using the following link:
  https://uni-kl-de.zoom-x.de/j/69269239534?pwd=Z9UOzMpkhMjrxVhll3d49sNHFe9Fd1.1