Course on "Numerical analysis of partial differential equations arising in finance and stochastic control"

**Lecture Notes (version of Sept. 2019)**

**Partial differential equations: an introduction (version of Aug. 2019)**

**Archive of Scilab macros for finite differences, used in lecture notes:****Explicit schemes for the heat equation.****Implicit schemes for the heat equation.****Schemes for the transport equation.****Schemes for an American option.**