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: Portfolio Theory and Financial AnalysesPortfolio Theory and Financial Analyses
by - BookBoon
The book evaluates Modern Portfolio Theory for future study. We learn why anybody with the software and a reasonable financial education can model portfolios. We learn why investors and not their computers should always interpret their results.
(7930 views)
Book cover: Behavioral Finance and Investment ManagementBehavioral Finance and Investment Management
by - Research Foundation Publications
A portfolio of different insights by different authors -- all intended to help us make better choices. Each piece touches on our biases, our embedded beliefs, and considers how these biases and beliefs can help as well as hinder our decisions.
(17412 views)
Book cover: Randomness and Optimal Estimation in Data SamplingRandomness and Optimal Estimation in Data Sampling
by - 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.
(6823 views)
Book cover: Fixing Global FinanceFixing Global Finance
by - Madhyam and SOMO
The aim of this book is to stimulate a debate on reforming the global finance. It examines recent problems afflicting the global financial system. It enunciates guiding principles and offers concrete policy measures to create a more stable system.
(4257 views)