Partial Differential Equations with Applications to Finance
Syllabus, Master's level, 1MA255
- Education cycle
- Second cycle
- Main field(s) of study and in-depth level
- Financial Mathematics A1N, Mathematics A1N
- Grading system
- Fail (U), Pass (3), Pass with credit (4), Pass with distinction (5)
- Finalised by
- The Faculty Board of Science and Technology, 11 October 2021
- Responsible department
- Department of Mathematics
120 credits including 90 credits in mathematics. Financial Derivatives. Participation in Probability Theory II or Integration Theory. Proficiency in English equivalent to the Swedish upper secondary course English 6.
The course aims to provide basic knowledge of parabolic partial differential equations and their relationship with stochastic differential equations and related applications.
On completion of the course, the student should be able to:
- give an account of the Ito-integral and use stochastic differential calculus;
- use Feynman - Kac's representation formula and the Kolmogorov equations;
- give an account of the theory for stochastic control, optimal stopping problems and free boundary problems;
- apply the theory to financial problems;
Stochastic calculus and diffusion processes. The Kolmogorov equations. Stochastic control theory, optimal stopping problems and free boundary problems. Integro-differential equations.
Lectures and problem solving sessions.
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.
- Reading list valid from Autumn 2022
- Reading list valid from Spring 2022
- Reading list valid from Spring 2019
- Reading list valid from Autumn 2013
- Reading list valid from Autumn 2012, version 2
- Reading list valid from Autumn 2012, version 1
- Reading list valid from Autumn 2009
- Reading list valid from Spring 2009