MMA711 Financial Derivatives and Partial Differential Equations, 7.5 hec


This course presents applications of stochastic calculus and partial differential equations in mathematical finance. Besides the basic options on stocks and currency, the course deals also with interest rate models, stochastic volatility models and financial derivatives whose value depends on the history of the underlying stock. This course is also fundamental for portfolio theory, which is however not treated in the course.
Syllabus
 
The course is given
  • in the first half of spring
  • jointly with Chalmers TMA285

 

Course information 2020

 

Course information 2019

 

Course information 2018

 

Course information 2017

Published: Wed 26 Feb 2020.