Physics and Finance
5 credits
Syllabus, Master's level, 1FA361
A revised version of the syllabus is available.
- Code
- 1FA361
- Education cycle
- Second cycle
- Main field(s) of study and in-depth level
- Mathematics A1N, Physics A1N
- Grading system
- Pass with distinction (5), Pass with credit (4), Pass (3), Fail (U)
- Finalised by
- The Faculty Board of Science and Technology, 8 March 2018
- Responsible department
- Department of Physics and Astronomy
Entry requirements
120 credits in science/engineering including Mechanics III and Quantum physics
Learning outcomes
After completing the course the student should be able to
- apply concepts and methods from physics to problems in finance,
- solve constrained optimization problems,
- find optimal controllers for simple dynamical systems and objectives,
- formulate stochastic differential equations and solve them using a number of methods,
- asses the limit of validity of commonly used models based on Gaussian white noise,
- analyse time series data and make statistical forecasts.
Content
Portfolio theory and constrained optimization. Relations between stochastic differential equations, Fokker-Planck, and Black-Scholes equation. Regression models, time series and forecasting. Bubbles, crashes, fat-tails and Levy-stable distributions. Path integrals in physics and finance. Introductory optimal control theory.
Instruction
Lectures
Assessment
Hand-in assignments.