Master 2 "Probabilité et Finance", Paris VI and Ecole Polytechnique

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

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• Lecture Notes (version of Sept. 2019)

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• 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.

• FreeFEM: a free finite elements software.