Lecture 21: Stochastic Differential Equations (18.S096)
This lecture explores stochastic differential equations, connecting probability theory with ordinary and partial differential equations, and introduces numerical methods and the heat equation.
MathematicsEconomicsProbability & Information TheoryCalculus & AnalysisNumerical MethodsHeat Equation
MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: http://ocw.mit.edu/18-S096F13
Instructor: Choongbum Lee
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Lecture 20: Option Price and Probability Duality (18.S096)
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