PDE for Finance, Spring 2015

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 2014. The notes and homework assignments 
from that semester are here.

   Syllabus, in pdf format (modified 2/1/2015, Samu's office hrs added 2/3/2015)
   Some relevant books, in pdf format
   Section 1, in pdf format
   HW 1, in pdf format (typo corrected 2/9)
   Section 2, in pdf format
   HW 2, in pdf format
   Section 3, in pdf format