Introduction to Stochastic Differential Equations (SDEs) for Finance
arXiv:1504.05309
Abstract
These are course notes on the application of SDEs to options pricing. The author was partially supported by NSF grant DMS-0739195.
arXiv commentThese are an evolving set of course notes. Eventually I hope to make them a book. They are posted on the arXiv so that others may see my approach to the topic