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: Mathematical Models in Portfolio AnalysisMathematical Models in Portfolio Analysis
by - Bookboon
This book explains portfolio modelling in financial mathematics as a consistent mathematical theory with all steps justified. Topics include mean-variance portfolio analysis and capital market theory. The book contains many examples with solutions.
(8986 views)
Book cover: Global Imbalances and the Collapse of Globalised FinanceGlobal Imbalances and the Collapse of Globalised Finance
by - Centre for European Policy Studies
The world economy is recovering from the most disastrous episode in the history of globalization. The authors argue that the main problems were deeply rooted and are to be found in two developments that for many years were left uncontrolled.
(12420 views)
Book cover: Financial Sector Assessment: A HandbookFinancial Sector Assessment: A Handbook
- World Bank Publications
This Handbook presents an overall analytical framework for assessing financial system stability and developmental needs, providing broad guidance on approaches, methodologies, and techniques of assessing financial systems.
(13820 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.
(6770 views)