Here are the examples sheets of the lecture:

Sheet one Sheet two

Here are the solutions for the sheets - try them yourself first!

Solution one Solution two

Finally, here are the typed lecture notes for the course:

Lecture notes

Recommended books and resources:

The course will, in large parts, follow closely the excellent course of

Bob Kohn, given in the Courant institute in New York in Spring 2011.

Therefore, the lecture notes to this course are a valuable reference.

They can be found here.

Further books:

P. Wilmott, S. Howison, and J. Dewynne,

The mathematics of financial derivatives: a student introduction, Cambridge Univ. Press

(This book has a relatively large overlap with the present course, but goes a bit further on

some topics).

L.C. Evans, Partial Differential Equations, AMS publishing.

The authorative textbook on PDE. Contains much much more than we will need.

Mark Joshi: The concepts and practice of Mathematical Finance, Cambridge Univ. Press

Good basic introduction to option pricing and Ito calculus. Does not cover much on PDE.

Lecture notes are here:

Lecture notes week 1

Lecture notes week 2

Lecture notes week 3

Lecture notes week 4

Lecture notes week 5

Lecture notes week 6

Lecture notes week 7

Lecture notes week 8 and 9

Complete lecture notes

Problem sheets with solutions:

Prep sheet Solutions prep sheet

Sheet 1 Solutions to sheet 1

Sheet 2 Solutions to sheet 2

Sheet 3 Solutions to sheet 3

Sheet 4 Solutions to sheet 4

Sheet 5 Solutions to sheet 5

Sheet 6 Solutions to sheet 6

Sheet 7 Solutions to sheet 7

Sheet 8 Solutions to sheet 8