Equações com Derivadas Parciais em Finanças
Objectives
Available soon
General characterization
Code
11580
Credits
6.0
Responsible teacher
Nuno Filipe Marcelino Martins
Hours
Weekly - 4
Total - Available soon
Teaching language
Português
Prerequisites
Available soon
Bibliography
BRAUN, M. (1993), Differential Equations and their applications (4th edition). Springer-Verlag.
WILMOTT, P., DEWINNE, J. and HOWISON, S. (1994): Option Pricing: Mathematical models and computation, Oxford Financial Press.
ZAUDERER, E. (1989), Partial Equations of Applied Mathematics (second ed.), John Wiley and Sons, New York.
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.