Equations with Partial Derivatives in Finance
Code
11580
Academic unit
Faculdade de Ciências e Tecnologia
Department
Departamento de Matemática
Credits
6.0
Teacher in charge
Magda Stela de Jesus Rebelo
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.
BRAUN, M. (1993), Differential Equations and their applications (4th edition). Springer-Verlag.