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.
Home page url
Download or read it online for free here:
(multiple PDF/PS files)
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.
by Marco Mongiello - BookBoon
The author explains the informational value of an annual report under the IFRS (International Financial Reporting Standards). Topics as the Balance sheet, Income statement, Cash flow statement and Statement of changes in equity are explained.
by Kevin P. Gallagher - Cornell University Press
Gallagher demonstrates how several emerging market and developing countries managed to reregulate cross-border financial flows in the wake of the global financial crisis despite the political and economic difficulty of doing so at the national level.
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.