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 2022

- Course coordinator: Irina Pettersson
- Schedule 2022

### Course information 2021

- Course coordinator: Simone Calogero
- Schedule 2021

### Course information 2020

- Course coordinator: Simone Calogero
- Schedule 2020

### Course information 2019

- Course coordinator: Simone Calogero
- Schedule 2019

### Course information 2018

- Course coordinator: Simone Calogero
- Schedule 2018

### Course information 2017

- Course coordinator: Simone Calogero
- Schedule 2017