Introduction To Partial Differential Equations Pdf Free Download
Wayde Laboy
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Course description: Computational techniques for solving mathematicalproblems arising in finance. Numerical solution of parabolic partial differentialequations, basic schemes, general theory, relation to binomial and trinomialtrees, boundary conditions for American options, computation of sensitivities,application to one factor and multi factor models. Stochastic simulationand Monte Carlo. Pseudo random number generators, generating random variableswith specified distributions, statistical analysis of simulation data anderror bars. Numerical solution of stochastic differential equations. Applicationto pricing, hedging, and portfolio management. Path dependent options.Model calibration and hypothesis testing. Value at risk.
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