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Volume 9, Issue 2


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Path Integral Methods for Parabolic Partial Differential Equations with Examples from Computational Finance
Andrew Lyasoff


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[3] D. W. Stroock, "Lectures on Stochastic Analysis: Diffusion Theory," London Mathematical Society Student Texts, 6, 1987, Oxford: Cambridge University Press.

[4] D. W. Stroock, Probability Theory, an Analytic View, Oxford: Cambridge University Press, 1993.

[5] A. Lyasoff, "Three Page Primer in Financial Calculus." (2000) Boston: Boston University.

[6] P. E. Kloeden and E. Platen, Numerical Solutions of Stochastic Differential Equations, New York: Springer-Verlag, 1997.

[7] D. Stroock and S. Taniguchi, "Diffusions as Integral Curves, or Stratonovich without Itô," in Progress in Probability #34, ed. by M. Freidlin, Birkhäuser, 1994, pp. 331-369.

[8] S. Wolfram, The Mathematica Book, 5th ed. Champaign, Oxford: Wolfram Media/Cambridge University Press, 2003.

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