Equações com Derivadas Parciais em Finanças
Code
11580
Academic unit
Faculdade de Ciências e Tecnologia
Department
Departamento de Matemática
Credits
6.0
Teacher in charge
Luís Manuel Trabucho de Campos
Weekly hours
4
Teaching language
Português
Subject matter
Ordinary Differential Equations. Exact equations. Integrating Factor.
Partial Differential Equations of the Elliptic, Parabolic and Hyperbolic types.
Sturm-Liouville Problems.
Fourier Series and Transform.
Laplace Transform.
Black-Scholes Equation.
Variational Inequalities.
Bibliography
BURDEN, R.L.; FAIRES, J.D. (1993) -- Numerical Analysis (fifth edition), Prindle, Weber & Schmidt, Boston.
PINA, H. (1995) -- Métodos Numéricos, McGrawHill.
CIARLET, P.G. (1985), Introduction à l''Analyse Numérique
Matricielle et à l''Optimisation, Masson, Paris.
EKELAN, I. and R. TEMAM (1976), Convex Analysis and Variational Problems, North-Holland, Elsevier, Amsterdam.
RAVIART, P.A. and J.M. THOMAS (1983), Introduction
a l''''Analyse Numérique des Equations aux Derivées Partielles, Masson,
Paris.
STEELE, J.M. (2004), Stochastic Calculus and Financial Applications, Applications of Mathematics: Stochastic Modelling and Applied Probability, 45, Springer, Berlin.
ZAUDERER, E. (1989), Partial Equations of Applied Mathematics (second ed.), John Wiley and Sons, New York.