Karel in 't Hout:
Numerical Partial Differential Equations in Finance Explained. Palgrave
Macmillan (2017).

This book provides a first, basic introduction into the valuation of financial options via the numerical solution
of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts,
models, methods and results that arise in this approach. In keeping with the series style, emphasis is placed on
intuition as opposed to full rigor, and a relatively basic understanding of mathematics is sufficient.
The book provides a wealth of examples, and ample numerical experiments are given to illustrate the theory. The main
focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed
discussion of the important step towards two-dimensional PDEs in finance.

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