Course Offerings
Course Details
Fall 2011-2012ORF 538
PDE Methods for Financial Mathematics
An introduction to analytical and computational methods common to financial math problems. Aimed at PhD students and advanced masters students who have studied stochastic calculus, the course focuses on uses of partial differential equations: their appearance in pricing financial derivatives, their connection with Markov processes, their occurrence as Hamilton-Jacobi-Bellman equations in stochastic control problems and stochastic differential games, and analytical, asymptotic, and numerical techniques for their solution.
Sample reading list:
M. Freidlin, Functional Integration and Partial Differential Equations
B. Oksendal, Stochastic Differential Equations
P. Wilmott, S. Howison, J. DeWynne, Mathematics of Financial Derivatives
S. Shreve, Stochastic Calculus for Finance II
Other Requirements:
Open to Graduate Students Only.
Schedule/Classroom assignment:
| Class number | Section | Time | Days | Room | Enrollment | Status |
|---|---|---|---|---|---|---|
| 20476 | C01 | 5:15 pm - 6:35 pm | M W | Sherrerd Hall 101 | Enrolled:12 Limit:20 |


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