Books on solving PDEs

NewFinance · February 28th, 2004, 3:23 pm

Anyone know of any good books or online lecture notes on solving PDEs? I tried the Wilmott book "Mathematics of Financial Derivatives"which is a very good start but are not comprehensive enough particularly when pricing bonds using different short rate models. I basically need the nitty gritty details. A finance book wth PDE applications would be ideal but perhaps a separate mathematics textbook is required?Cheers

exotiq · February 29th, 2004, 9:42 pm

Depends what types of PDE solutions you are looking for; Tavella and Randall's "Pricing Financial Instruments: The finite difference method" is quite practical.

doofusmaximus · March 1st, 2004, 10:00 pm

http://www.math.nps.navy.mil/~bneta/lnotes.htmlMA3132 text and solutions manual . Excellent for analytical solution methods, separation of variablesetc. Hope this helps doofusmaximus

quantguy1 · March 2nd, 2004, 2:49 am

Try Modeling Derivatives in C++ which gives the entire formal proof of solving the Black-Scholes PDE using Green's Functions and also discusses finite different methods and other methods for solving PDES.

spongebob · March 2nd, 2004, 8:38 am

QuoteOriginally posted by: doofusmaximushttp://www.math.nps.navy.mil/~bneta/lnotes.htmlMA3132 text and solutions manual . Excellent for analytical solution methods, separation of variablesetc. Hope this helps doofusmaximusVery very nice! Thanks a lot for this. There are so many great links on this site, I wish we could keep track of them in like a central repository of links to online books/lecture notes/papers. Otherwise, even with searching, I'm sure we can easily miss something like this.My apologies if this has been suggested before (I'm sure it must have been...)

spongebob · March 2nd, 2004, 9:51 am

Found it,here is a link for a book (split by chapter for individual download) on Hilbert Space Methods in PDEs...Should satisfy the Sobolev space junkies out there Hilbert PDE Book

doofusmaximus · March 3rd, 2004, 10:09 am

www.backflip.com has something like this , have been accumulating links on computational finance, stats prob etc if you send me your email I can share it with you doofusmaximus

doofusmaximus · March 4th, 2004, 9:16 am

I take that back , following folder is now availablefor all to view, some links may be out of date http://www.backflip.com/members/hmcbride

spongebob · March 4th, 2004, 11:10 am

Thanks for that.Bet you received quite a few PMs from the previous email!