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Partial Differential Equations In Economics And Finance

Partial Differential Equations In Economics And Finance
Author: Suren Basov
Publisher: Nova Publishers
ISBN: 9781600217067
Size: 61.45 MB
Format: PDF, ePub
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This book reviews the basic theory of partial differential equations of the first and second order and discusses their applications in economics and finance. It starts with well-known applications to consumer and producer theory, and to the theory of option pricing and then introduces new applications that emerge from current research (some of which is the author's own) in bounded rationality, game theory, and multi-dimensional screening.
Partial Differential Equations in Economics and Finance
Language: un
Pages: 134
Authors: Suren Basov
Categories: Mathematics
Type: BOOK - Published: 2007 - Publisher: Nova Publishers
This book reviews the basic theory of partial differential equations of the first and second order and discusses their applications in economics and finance. It starts with well-known applications to consumer and producer theory, and to the theory of option pricing and then introduces new applications that emerge from current research (some of which is the author's own) in bounded rationality, game theory, and multi-dimensional screening.
Applied Computational Economics and Finance
Language: en
Pages: 510
Authors: Mario J. Miranda, Paul L. Fackler
Categories: Business & Economics
Type: BOOK - Published: 2002 - Publisher: MIT Press
An introduction to the use of computational methods to solve problems in economics and finance.
Mathematics For Economics And Finance - Methods And Modeling (Clpe)
Language: un
Pages: 410
Authors: Martin Anthony
Categories: Economics, Mathematical
Type: BOOK - Published: 1996 - Publisher:
Mathematics has become indispensable in the modelling of economics, finance, business and management. Without expecting any particular background of the reader, this book covers the following mathematical topics, with frequent reference to applications in economics and finance: functions, graphs and equations, recurrences (difference equations), differentiation, exponentials and logarithms, optimisation, partial differentiation, optimisation in several variables, vectors and matrices, linear equations, Lagrange multipliers, integration, first-order and second-order differential equations. The stress is on the relation of maths to economics, and this is illustrated with copious examples and exercises to foster depth of understanding. Each chapter has three parts: the main text, a section of further worked examples and a summary of the chapter together with a selection of problems for the reader to attempt. For students of economics, mathematics, or both, this book provides an introduction to mathematical methods in economics and finance that will be welcomed for its clarity and breadth.
Applications of Stochastic Calculus and Partial Differential Equations in Financial Economics
Language: en
Pages: 200
Authors: Tiberiu Florin Tomita
Categories: Economics, Mathematical
Type: BOOK - Published: 2003 - Publisher:
This thesis is divided in two sections. The first part is a numerical approximation for the American put option's price and the second part studies a portfolio optimization problem with liquidity risk.
Mathematical tools for Economics and Finance with Mathematica software
Language: un
Pages: 346
Authors: Giovanni Masala
Categories: Computers
Type: BOOK - Published: 2015-06-22 - Publisher: Universitas Studiorum
Mathematica is a scientific software dedicated to symbolic and numerical calculus, developed by a team directed by Stephen Wolfram. The potential applications are extremely wide and may comprise, for example, pure and applied Mathematics, Statistics, Economics, Finance and Engineering. The first version 1.0 was published on 1988 while the current version 10.0 was released on 2014. Mathematica also permits to develop sophisticated program code thanks to its own syntax and besides, it can be used as a highly accurate text Editor. This book is a complete and up-to-date guide to Mathematica Software.Contents: Introduction, Linear Algebra, Functions of a real variable, Functions of several variables, Implicit funcions theorem, Unconstrained optimization, Constrained optimization, Ordinary differential equations and systems, Dynamic optmization, Stochastic calculus, Financial Applications, etc.
Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
Language: un
Pages: 667
Authors: Etienne Pardoux, Aurel Rӑşcanu
Categories: Mathematics
Type: BOOK - Published: 2014-06-24 - Publisher: Springer
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each chapter. Stochastic calculus and stochastic differential equations (SDEs) were first introduced by K. Itô in the 1940s, in order to construct the path of diffusion processes (which are continuous time Markov processes with continuous trajectories taking their values in a finite dimensional vector space or manifold), which had been studied from a more analytic point of view by Kolmogorov in the 1930s. Since then, this topic has become an important subject of Mathematics and Applied Mathematics, because of its mathematical richness and its importance for applications in many areas of Physics, Biology, Economics and Finance, where random processes play an increasingly important role. One important aspect is the connection between diffusion processes and linear partial differential equations of second order,
Mathematics for Economics and Finance
Language: un
Pages:
Authors: Martin Anthony, Norman Biggs
Categories: Mathematics
Type: BOOK - Published: 1996-07-13 - Publisher: Cambridge University Press
Mathematics has become indispensable in the modelling of economics, finance, business and management. Without expecting any particular background of the reader, this book covers the following mathematical topics, with frequent reference to applications in economics and finance: functions, graphs and equations, recurrences (difference equations), differentiation, exponentials and logarithms, optimisation, partial differentiation, optimisation in several variables, vectors and matrices, linear equations, Lagrange multipliers, integration, first-order and second-order differential equations. The stress is on the relation of maths to economics, and this is illustrated with copious examples and exercises to foster depth of understanding. Each chapter has three parts: the main text, a section of further worked examples and a summary of the chapter together with a selection of problems for the reader to attempt. For students of economics, mathematics, or both, this book provides an introduction to mathematical methods in economics and finance that will be welcomed for its clarity and breadth.
Numerical Methods in Finance and Economics
Language: un
Pages: 696
Authors: Paolo Brandimarte
Categories: Mathematics
Type: BOOK - Published: 2013-06-06 - Publisher: John Wiley & Sons
A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications. The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions. Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms. Newly featured in the Second Edition: * In-depth treatment of Monte Carlo methods
Elements of Mathematics for Economics and Finance
Language: un
Pages: 312
Authors: Vassilis C. Mavron, Timothy N. Phillips
Categories: Mathematics
Type: BOOK - Published: 2007-03-06 - Publisher: Springer Science & Business Media
This book equips undergraduates with the mathematical skills required for degree courses in economics, finance, management, and business studies. The fundamental ideas are described in the simplest mathematical terms, highlighting threads of common mathematical theory in the various topics. Coverage helps readers become confident and competent in the use of mathematical tools and techniques that can be applied to a range of problems.
Algebra and Calculus
Language: un
Pages: 270
Authors: Edoh Y. Amiran
Categories: Mathematics
Type: BOOK - Published: 2014-09-15 - Publisher: CreateSpace
"This book discusses the vocabulary and notions used in developing quantitative models in the context of simple markets, financial interest, optimization, and settings involving rates of change. The mathematical models match topical questions. The principle topics are the relation of variables, numbers, and equations; functions of particular use in economic and financial models; probability and expected values; rates of change; optimization; and an introduction to functions of several variables. " -- back cover.