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Unformatted text preview: Partial Differential Equations for Finance G63.2706, Spring 2011 Some Relevant Books The following books may be helpful. Note that some are more advanced than this class, and many cover lots of material thats not in this class. Some books exist in more than one edition; in those cases, an old edition is just as good as a new one. Stochastic calculus, backward and forward Kolmogorov eqns C.W. Gardiner, Handbook of Stochastic Methods for Physics, Chemistry, and the Nat- ural Sciences , Springer-Verlag. No financial applications here the book is aimed at applications in the physical sciences. But its heuristic, not-overly-rigorous style is a lot like this course, making it a useful reference for stochastic differential equations, backward and forward Kolmogorov equations, and their applications. S. Neftci, An introduction to the mathematics of financial derivatives , Academic Press. Includes the stochastic calculus prerequisites for this class, presented in an accessible non-rigorous fashion....
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This note was uploaded on 01/02/2012 for the course FINANCE 347 taught by Professor Bayou during the Fall '11 term at NYU.
- Fall '11