Browsing Applied mathematics by Author "Barger, Weston David"
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A Partial Differential Equation Approach to Three Problems in Finance: Barrier Option Pricing, Optimal Asset Liquidation and Insider Trading
Barger, Weston DavidWe examine three problems in mathematical finance. These problems broadly fall under the sub-disciplines of contract pricing and optimal execution of orders on an exchange under price impact. The first problem deals with ...