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 Some relevant books, in pdf format