Nonlinear Parabolic Equations Arising in Mathematical Finance

DOI10.1007/978-3-319-61282-9_1zbMath1420.91521arXiv1707.01436OpenAlexW2724938439MaRDI QIDQ4626488

Daniel Ševčovič

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.01436

zbMATH Keywords

nonlinear parabolic equationsBlack-Scholes theory extensionstochastic dynamic portfolio optimization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items

Efficient finite difference method for optimal portfolio in a power utility regime-switching model, A Unified Numerical Approach for a Large Class of Nonlinear Black-Scholes Models, A constructive method for convex solutions of a class of nonlinear Black-Scholes equations

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