- Joined
- 3/28/10
- Messages
- 6
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- 11
Hello, everyone. I've followed this site for a while and have found it quite interesting. My growing interest in the field of quantitative finance has motivated me to finally register and post, as I am seeking some advice on the following...
I'm currently taking a course in numerical differential equations and have a term project on numerical methods for the Black Scholes equation. I was hoping someone could point me in the right direction, i.e., a good book/books, any papers, topics to be familiar with, etc. I'm familiar with some numerical methods for differential equations and measure theoretic probability, but have never seen any stochastic calculus or anything of that sort (I'm hoping that I haven't bitten off more than I can chew!). Any and all comments and suggestions are welcomed and appreciated... thanks so much for your time!
I'm currently taking a course in numerical differential equations and have a term project on numerical methods for the Black Scholes equation. I was hoping someone could point me in the right direction, i.e., a good book/books, any papers, topics to be familiar with, etc. I'm familiar with some numerical methods for differential equations and measure theoretic probability, but have never seen any stochastic calculus or anything of that sort (I'm hoping that I haven't bitten off more than I can chew!). Any and all comments and suggestions are welcomed and appreciated... thanks so much for your time!
