Vvedensky's "PDE's with Mma" ?
- To: mathgroup at yoda.physics.unc.edu
- Subject: Vvedensky's "PDE's with Mma" ?
- From: Rob Trevor <robt at mummy.agsm.unsw.oz.au>
- Date: Tue, 20 Oct 1992 10:33:52 +1000
I'm thinking of writing some Mma code to use finite differences to solve the relatively simple second-order PDE's we tend to encounter in finance. (One of the very simplest of these, Ft + AXFx + BXXFxx = CF, with boundary conditions F(T,X(T))=max(K-X(T),0), F(t,0)=K, and F(t,X->infin)->0, where Ft is partial wrt to t, Fx is partial wrt to X, etc, represents a a very simple European put option. That case has a well known analytical solution for F(t,X(t)). More general versions, say with two state variables, usually need to be solved numerically. A relatively simple finite difference approach typically works reasonably well.) Given that I dislike re-inventing the wheel (much better to use one's engeries to try to improve existing code for the problem at hand) I asked our library to order "Partial Differential Equations with Mathematica", by Dimitri Vvedensky, 1992 Addison-Wesley. Unfortunately, there are no stocks here down under. Before I go to the trouble of trying to get a copy flown out from the US, can somebody tell me whether this book is likely to help me? Does it include the type of sample code I'm looking for? (If somebody could email or fax me the relevant parts of the Table of Contents, that would be fantastic.) Many thanks Rob Trevor robt at agsm.unsw.oz.au or R.Trevor at unsw.edu.au FAX: +61 (2) 662-7621 or +61 (2) 662-2451 Australian Graduate School of Management University of New South Wales PO Box 1, Kensington, NSW, AUSTRALIA 2033