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I'm currently studying Paul Wilmott on quantitative finance and saw an interesting idea for an interest rate model that went unexplored in the book. The idea is to model the market price of risk as a ...

In mathematical finance, one often encounters parabolic PDEs typically through the Feynman-Kac representation theorem/formula. However, I'm curious are there interesting examples of Elliptic boundary ...

The aim of transforming the Black-Scholes PDE is of course to find a form where an relatively easy solution exists. Most of the steps seem to be straightforward - please use this reference: https://...