Partial Differential Equations in Quantitative Finance
Partial Differential Equations in Quantitative Finance: A Practical Guide to Option Pricing, Heat Diffusion Models, and the Black-Scholes Framework by Vincent Bisette, Alice Schwartz
English | October 4, 2025 | ISBN: N/A | ASIN: B0FTWJWNNL | 734 pages | EPUB | 0.76 Mb
English | October 4, 2025 | ISBN: N/A | ASIN: B0FTWJWNNL | 734 pages | EPUB | 0.76 Mb
Reactive Publishing
Partial Differential Equations (PDEs) are at the core of modern quantitative finance. From the Black-Scholes equation to advanced multi-factor models, PDEs provide the mathematical foundation for option pricing, risk management, and hedging strategies across global markets.
This book delivers a clear, practical introduction to PDEs in finance, bridging rigorous theory with real-world application. Readers will learn not only the mathematics behind PDE-based models but also how to implement and apply them directly to derivatives trading, risk modeling, and quantitative research.
What You’ll Learn
- The fundamentals of parabolic, elliptic, and hyperbolic PDEs in financial contexts
- Step-by-step construction of the Black-Scholes PDE and its solutions
- Applications of PDEs to European, American, and exotic options
- Numerical methods: finite difference schemes, Crank-Nicolson, implicit/explicit solvers
- PDE approaches to interest rate models, volatility surfaces, and multi-asset derivatives
- Python implementations of PDE solvers for practical trading and research
- Quantitative analysts and traders working with derivatives
- Financial engineers and risk managers
- Graduate students in quantitative finance, applied math, or financial engineering
- Python developers applying numerical methods in finance