Partial Differential Equations for Finance
by Robert V. Kohn
Publisher: New York University 2003
Number of pages: 121
Description:
An introduction to those aspects of partial differential equations and optimal control most relevant to finance. PDE’s naturally associated to diffusion processes: the forward and backward Kolmogorov equations and their applications. Linear parabolic equations: fundamental solution, boundary value problems, maximum principle, transform methods. Dynamic programming and optimal control: Hamilton-Jacobi-Bellman equation, verification arguments, optimal stopping. Applications to finance will be distributed throughout the course.
Download or read it online for free here:
Download link
(multiple PDF/PS files)
Similar books

by AP Faure - Bookboon
Forwards, futures, swaps, options, hybrids and a category 'other' (credit derivatives, weather derivatives, etc.) make up the derivative markets. The word is drawn from 'derive' and means that the derivative instrument cannot exist on its own.
(7123 views)

by M. Khoshnevisan, at al. - American Research Press
The purpose of this book is to postulate some theories and test them numerically. It is designed for graduates and researchers who are active in the area of estimation and data sampling applied in financial survey modeling and applied statistics.
(9685 views)

by Bernt Arne Ødegaard
Useful examples and algorithms for people working within the field of finance. Typical examples are option/derivatives pricing, term structure calculations, mean variance analysis. The author made C++ subroutines that implements common algorithms.
(22774 views)

by Peter Dybdahl Hede - BookBoon
Behavioural finance uses our knowledge of psychology to improve our understanding of how individual investors make financial decisions. This book provides an introduction to behavioural finance, investor behaviour and financial decision-making.
(10839 views)