Title: A disservice to PDEs
Review: Yes, this is a friendly, introductory book, and that is no bad thing. The reader is very poorly served, however, by the author's treatment of PDE techniques. Ignorance of a field is no excuse to trash it, and the author betrays an almost complete lack of understanding of even the linear heat equation. This lapse is sadder for being completely unnecessary. Stochastic methods are beautiful and useful in their own right, and do not require a false comparison for motivation.Someone looking for intuition with their mathematical exposition should consider Baxter and Rennie's "Financial Calculus".
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