Solving Free Boundary Problems With Applications In Finance
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Solving Free-boundary Problems with Applications in Finance
Outlines and explains a recent computational method that solves free boundary problems by reducing them into a sequence of fixed boundary problems which are relatively easy to solve numerically.
Free Boundary Problems
Author: Isabel Narra Figueiredo
language: en
Publisher: Springer Science & Business Media
Release Date: 2007-01-11
This book collects refereed lectures and communications presented at the Free Boundary Problems Conference (FBP2005). These discuss the mathematics of a broad class of models and problems involving nonlinear partial differential equations arising in physics, engineering, biology and finance. Among other topics, the talks considered free boundary problems in biomedicine, in porous media, in thermodynamic modeling, in fluid mechanics, in image processing, in financial mathematics or in computations for inter-scale problems.
Optimal Stopping and Free-Boundary Problems
Author: Goran Peskir
language: en
Publisher: Springer Science & Business Media
Release Date: 2006-11-10
This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics.