Partial Differential Equations for Finance
by Robert V. Kohn
Publisher: New York University 2003
Number of pages: 121
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.
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by Richard F. Bass
Lecture notes on mathematical finance - figuring out the price of options and derivatives. The text civers elementary probability, the binomial asset pricing model, advanced probability, the continuous model, and term structure models.
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This manuscripts is designed for an introductory course in the theory of interest and annuity. Each section contains the embedded examples with answer keys. The manuscript is suitable for a junior level course in the mathematics of finance.
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