Physics and Finance
Syllabus, Master's level, 1FA361
- 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, 30 August 2018
- Responsible department
- Department of Physics and Astronomy
Entry requirements
120 credits in science/engineering including Mechanics III and Quantum physics
Learning outcomes
On completion of 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.
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.