3. Solving Partial Differential Equations of Second Order

  1. Jacques Janssen,
  2. Oronzio Manca and
  3. Raimondo Manca
  1. Jacques Janssen,
  2. Oronzio Manca and
  3. Raimondo Manca

Published Online: 4 APR 2013

DOI: 10.1002/9781118578339.ch3

Applied Diffusion Processes from Engineering to Finance

Applied Diffusion Processes from Engineering to Finance

How to Cite

Janssen, J., Manca, O. and Manca, R. (2013) Solving Partial Differential Equations of Second Order, in Applied Diffusion Processes from Engineering to Finance, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118578339.ch3

Publication History

  1. Published Online: 4 APR 2013
  2. Published Print: 4 MAR 2013

ISBN Information

Print ISBN: 9781848212497

Online ISBN: 9781118578339

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Keywords:

  • finance;
  • heat equation;
  • Monte Carlo methods;
  • partial differential equations (PDE);
  • second order

Summary

This chapter is entirely devoted to a theoretical introduction on a partial differential equations (PDE) of a second order by first attempting to solve the heat equation and better understand of the two ways of solving PDEs in finance. It also recalls some basic facts currently used in physics. Numerical aspects and Monte Carlo methods are developed.