Partial Differential Equations with Applications to Finance (Contract Education)
Syllabus, Master's level, 8MA007
This course has been discontinued.
- Code
- 8MA007
- Education cycle
- Second cycle
- Main field(s) of study and in-depth level
- Mathematics A1F
- 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 Mathematics
Entry requirements
120 credits including 90 credits in Mathematics
Learning outcomes
In order to pass the course (grade 3) the student should
- 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.