Partial Differential Equations with Applications to Finance
Course, Master's level, 1MA255
Spring 2024 Spring 2024, Uppsala, 33%, On-campus, English Only available as part of a programme
- Location
- Uppsala
- Pace of study
- 33%
- Teaching form
- On-campus
- Instructional time
- Daytime
- Study period
- 18 March 2024–2 June 2024
- Language of instruction
- English
- Entry requirements
-
120 credits including 90 credits in mathematics. Financial Derivatives. Participation in Probability Theory II or Integration Theory. Proficiency in English equivalent to the Swedish upper secondary course English 6.
- Application deadline
- 16 October 2023
- Application code
- UU-60004
Admitted or on the waiting list?
- Registration period
- 4 March 2024–31 March 2024
- Information on registration
Spring 2024 Spring 2024, Uppsala, 33%, On-campus, English For exchange students
- Location
- Uppsala
- Pace of study
- 33%
- Teaching form
- On-campus
- Instructional time
- Daytime
- Study period
- 18 March 2024–2 June 2024
- Language of instruction
- English
- Entry requirements
-
120 credits including 90 credits in mathematics. Financial Derivatives. Participation in Probability Theory II or Integration Theory. Proficiency in English equivalent to the Swedish upper secondary course English 6.
Admitted or on the waiting list?
- Registration period
- 4 March 2024–31 March 2024
- Information on registration
Spring 2025 Spring 2025, Uppsala, 33%, On-campus, English Only available as part of a programme
- Location
- Uppsala
- Pace of study
- 33%
- Teaching form
- On-campus
- Instructional time
- Daytime
- Study period
- 24 March 2025–8 June 2025
- Language of instruction
- English
- Entry requirements
-
120 credits including 90 credits in mathematics. Financial Derivatives. Participation in Probability Theory II or Integration Theory. Proficiency in English equivalent to the Swedish upper secondary course English 6.
- Application deadline
- 15 October 2024
- Application code
- UU-60004
Admitted or on the waiting list?
- Registration period
- 10 March 2025–6 April 2025
- Information on registration
Spring 2025 Spring 2025, Uppsala, 33%, On-campus, English For exchange students
- Location
- Uppsala
- Pace of study
- 33%
- Teaching form
- On-campus
- Instructional time
- Daytime
- Study period
- 24 March 2025–8 June 2025
- Language of instruction
- English
- Entry requirements
-
120 credits including 90 credits in mathematics. Financial Derivatives. Participation in Probability Theory II or Integration Theory. Proficiency in English equivalent to the Swedish upper secondary course English 6.
Admitted or on the waiting list?
- Registration period
- 10 March 2025–6 April 2025
- Information on registration
About the course
The course provides you with basic knowledge of parabolic partial differential equations and their relationship with stochastic differential equations and related applications. The course contains: Stochastic calculus and diffusion processes. The Kolmogorov equations. Stochastic control theory, optimal stopping problems and free boundary problems. Integro-differential equations.
Reading list
- Reading list valid from Autumn 2024
- Reading list valid from Autumn 2023
- Reading list valid from Autumn 2022
- Reading list valid from Spring 2022
- Reading list valid from Spring 2019
- Reading list valid from Autumn 2013
- Reading list valid from Autumn 2012, version 2
- Reading list valid from Autumn 2012, version 1
- Reading list valid from Autumn 2009
- Reading list valid from Spring 2009
Contact
- Study counselling
- studievagledare@math.uu.se
- +46 18 471 32 03, +46 18 471 32 00