Partiella differentialekvationer med finansiella tillämpningar
The course aims to provide basic knowledge of parabolic partial differential equations and their relationship with stochastic differential equations and related applications.In order to pass the course (grade 3) the student should be able to
Stochastic calculus and diffusion processes. The Kolmogorov equations. Stochastic control theory, optimal stopping problems and free boundary problems. Integro-differential equations.
Lectures and problem solving sessions.
Written examination at the end of the course combined with assignments given during the course.
week 30, 2013
Robert Kohn: PDE for Finance, Spring 2011. Electronic textbook which can be accessed at http://www.math.nyu.edu/faculty/kohn/pde_finance_2011.html
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