Equações com Derivadas Parciais em Finanças
Objectives
Available soon
General characterization
Code
11580
Credits
6.0
Responsible teacher
Magda Stela de Jesus Rebelo
Hours
Weekly - 4
Total - Available soon
Teaching language
Português
Prerequisites
Available soon
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.
Teaching method
Available soon
Evaluation method
Available soon
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.