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: Behavioural FinanceBehavioural Finance
by - BookBoon
Behavioural finance, with its emphasis on the numerous biases and heuristics, puts a human face on the financial markets, recognizing that market participants are subject to biases that have predictable effects on prices.
(11788 views)
Book cover: Financial Decision-making and Investor BehaviourFinancial Decision-making and Investor Behaviour
by - 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.
(12600 views)
Book cover: Financial Strategy for Public ManagersFinancial Strategy for Public Managers
by - The Rebus Foundation
This is a new generation textbook for financial management in the public sector. It offers a thorough, applied, and concise introduction to the essential financial concepts and analytical tools that today's effective public servants need to know.
(7651 views)
Book cover: An Introduction to Business MathematicsAn Introduction to Business Mathematics
by - arXiv
These lecture notes provide a self-contained introduction to the mathematical methods required in a Bachelor degree programme in Business, Economics, or Management. A special focus is set on applications in quantitative economical modelling.
(9858 views)