Solving First Order ODEs in Finance, Part 2

By on January 9th, 2015

Continuing from the first part of this blog “series”, which can be found here, I will move on to a more general form of ODEs, which are structured as: Note here that we cannot separate the function as was possible before, instead we are stuck with a function which multiplies y. The first step in […]

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Solving First Order ODEs in Finance, Part 1

By on December 27th, 2014

Traditional ODEs are a topic that is rarely covered more than briefly (if at all) in quant-finance courses and most often it is assumed you already know it. However, for us who are not from an engineering, maths or physics background, ODEs are not necessarily such a common occurrence. At the same time, first order […]

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