Computational Finance: Pricing and Valuation, 5 credits

Academic year 2022/2023

  • Autumn 2022, 33%, Campus

    Start date: 29 August 2022

    End date: 30 October 2022

    Application deadline: 19 April 2022

    Application code: UU-12010 Application

    Language of instruction: English

    Location: Uppsala

    Selection: Higher education credits in science and engineering (maximum 240 credits)

    Registration: 28 July 2022 – 5 September 2022

Entry requirements: 120 credits in science/engineering. Scientific Computing II, 5 credits, or Scientific Computing, Bridging Course, 5 credits. Financial Derivatives is recommended. Proficiency in English equivalent to the Swedish upper secondary course English 6.


If you are not a citizen of a European Union (EU) or European Economic Area (EEA) country, or Switzerland, you are required to pay application or tuition fees. Formal exchange students will be exempted from tuition fees, as well as the application fee. Read more about fees.

Application fee: SEK 900

Tuition fee, first semester: SEK 12,083

Tuition fee, total: SEK 12,083

About the course

The use of complicated mathematical models has increased substantially in the discipline of financial economics. Through the use of models one can study and simulate financial markets, e.g. the value of options, stocks and other security papers. To do so, computers and numerical methods are used. This course covers the numerical methods that are used within financial mathematics, and specifically methods for valuation of options, stocks and other security papers.

The content covers both use of commercial software as well as studies of the computational methods and their properties. Methods covered are i.e. Monte Carlo methods and methods based on so called finite differences. The methods are general purpose methods, even though they are used for financial mathematics here. Thus, what you learn in the course can be used not only in the financial area, but in other areas as well.

The course is examined through mini projects with oral and written presentation.

The course is closely related to 1TD186 Computational Finance - Calibration and estimation, but the courses can be taken in any order.

More information


Department of Information Technology

hus 10, Lägerhyddsvägen 1

Box 337, 751 05 UPPSALA


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