This survey article outlines the various contexts where partial differential equations (PDEs) arise in finance. We discuss, in particular, option pricing, portfolio optimization, and calibration from the PDE viewpoint, and indicate further issues for PDE in finance. 
 
 
Keywords: 
 
partial differential equation; 
option pricing; 
portfolio optimization; 
Hamilton–Jacobi–Bellman; 
calibration

This book explores linear and nonlinear partial differential equations, focusing on Sobolev spaces, second-order elliptic equations, linear evolution equations, and nonvariational techniques.

Paper

Partial Differential Equations

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