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

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

Frédéric Bonnans, INRIA-Saclay and CMAP, Ecole Polytechnique

• Lecture notes

• Chapter I: First steps in finite differences methods (October 2011).

• Chapter II: Variational formulation of partial differential equations (November 2011). Slide version (selected material)

• Chapter III: Discretization of variational formulations (November 2011).

• Old version: revision of April 2011.

• Scilab macro for finite differences (cf figures of 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.

• Exams with corrections

• Exam of January 2011

• Exam of March 2011

• Exam of January 2012