PDE for Finance, Spring 2011
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 2003. The notes and homework from that 
semester are here.

   Syllabus, in pdf format
   Recommended books, in pdf format
   Section 1, in pdf format
   Homework 1, in pdf format
   Section 2, in pdf format
   Section 3, in pdf format
   Homework 2, 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
   Section 7, in pdf format
   Homework 6, in pdf format
   Section 8, in pdf format
   Section 9, in pdf format

   The last lecture discussed my paper "Asset price bubbles
   from heterogeneous beliefs about mean  reversion rates,"
   X. Chen and R.V. Kohn, Finance and Stochastics 2011; 
   the preprint version is here