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MathGroup Archive 1992

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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





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