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
Fail (U), Pass (3), Pass with credit (4), Pass with distinction (5)
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.

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