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.
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
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