Introduction to Stochastic Differential Equations (SDEs) for Finance
Mathematical Finance
2019-01-03 v9 Probability
Abstract
These are course notes on the application of SDEs to options pricing. The author was partially supported by NSF grant DMS-0739195.
Cite
@article{arxiv.1504.05309,
title = {Introduction to Stochastic Differential Equations (SDEs) for Finance},
author = {Andrew Papanicolaou},
journal= {arXiv preprint arXiv:1504.05309},
year = {2019}
}
Comments
These are an evolving set of course notes. Eventually I hope to make them a book. They are posted on the arXiv so that others may see my approach to the topic