Partial Differential Equations with Applications to Finance
5 credits
Reading list, Master's level, 1MA255
A revised version of the reading list is available.
Main group 1
- Kohn, Robert, PDE for Finance, Courant Institute, New York University, 2011, http://www.math.nyu.edu/faculty/kohn/pde_finance_2011.htmlCompulsory
- Björk, Tomas, Arbitrage theory in continuous time, Fourth edition., Oxford, Oxford University Press, 2020
- Karatzas, Ioannis; Shreve, Steven E., Brownian motion and stochastic calculus, 2. ed., Berlin, Springer, cop. 1991
* Compulsory