PDE for Finance, Spring 2014

Robert V. Kohn

Professor of Mathematics

Courant Institute, New York University


This course assumes a working familiarity with stochastic
differential equations (e.g. Ito's lemma). Here are some
notes that review this material, in pdf format

This website will be built as the semester evolves. I previously 
taught this class in Spring 2011. The notes and homework from that 
semester are here.

   Syllabus, in pdf format
   Some relevant books, in pdf format
   Section 1, in pdf format, footnote on pg 9 revised 3/26/2014
   Homework 1, in pdf format
   Homework 2, in pdf format
   Section 2, in pdf format
   Section 3, in pdf format
   Homework 3, in pdf format
   Section 4, in pdf format
   Homework 4, in pdf format
   Section 5, in pdf format
   Section 6, in pdf format
   Homework 5, in pdf format