Partial Differential Equations. Black-Scholes Model

7 Novembro 2019, 10:00 • Maria do Rosário Grossinho

Black-Scholes model. Black-Scholes Formula. Exercises.

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Partial Differential Equations

5 Novembro 2019, 10:00 • Maria do Rosário Grossinho

Cauchy problem for the heat equation in R.

From the Cauchy problem for the heat equation to the Black-Scholes model for a European Call option.

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Partial Differential Equations

31 Outubro 2019, 10:00 • Maria do Rosário Grossinho

Fourier series and the heat equation - exercises.

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Partial Differential Equations

29 Outubro 2019, 10:00 • Maria do Rosário Grossinho

Resolution of exercises on the heat equation with intial-boundary value conditions. 

 

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PartialDifferential Equations (extra calss 5th November 2019)

24 Outubro 2019, 10:00 • Maria do Rosário Grossinho

Note: This class was replaced with an extra class on 5th November 2019

From the Cauchy problem for the heat equation to the Black-Scholes formula - proof.

 

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