MTH 9852 - Numerical Methods for Partial Differential Equations in Finance

Security prices are often represented as solutions to parabolic partial differential equations (PDEs) arising out of the stochastic calculus. This course focuses on the study of these equations, from both a theoretical and a numerical point of view. Several finite difference methods are presented, and their performance is compared with other methods, e.g., binomial methods. Applications include the Black-Scoles formula for American options as the solution of a PDE as well as some exotic option pricing.