Entry requirements

120 credits and Introduction to Partial Differential Equations. Proficiency in English equivalent to the Swedish upper secondary course English 6.

Learning outcomes

On completion of the course, the student should be able to:

• know the Ito-integral and how to use stochastic differential calculus;
• know how to use Feynman-Kac's representation formula and the Kolmogrov equations;
• know the theory for stochastic control, optimal stopping problems and free boundary problems;
• be able to apply the theory to financial problems;

Content

Stochastic calculus and diffusion processes. The Kolmogorov equations. Stochastic control theory, optimal stopping problems and free boundary problems. Integro-differential equations.

Instruction

Lectures and problem solving sessions.

Assessment

Written examination at the end of the course combined with assignments given during the course.

If there are special reasons for doing so, an examiner may make an exception from the method of assessment indicated and allow a student to be assessed by another method. An example of special reasons might be a certificate regarding special pedagogical support from the disability coordinator of the university.