Logo

Partial Differential Equations for Finance

Partial Differential Equations for Finance
by

Publisher: New York University
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.

Home page url

Download or read it online for free here:
Download link
(multiple PDF/PS files)

Similar books

Book cover: Strategic Financial Management: ExercisesStrategic Financial Management: Exercises
by - BookBoon
By following the same structure as the companion text, this book of exercises tests your knowledge of Strategic Financial Management. It also develops a number of theoretical concepts outlined in the companion text as a guide to further study.
(8993 views)
Book cover: Construction Financial ManagementConstruction Financial Management
by - Bookboon
This is a textbook on construction financial management written in simple English for undergraduate students who study construction related programmes. It is also suitable for postgraduate students who are less familiar with financial management.
(3031 views)
Book cover: International Financial ReportingInternational Financial Reporting
by - 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.
(11894 views)
Book cover: Public Debt, Inequality, and PowerPublic Debt, Inequality, and Power
by - University of California Press
This book is the first comprehensive historical analysis of public debt ownership in the United States. It reveals that ownership of federal bonds has been increasingly concentrated in the hands of the 1 percent over the last three decades.
(2866 views)