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.
The course is given
  • in the first half of spring
  • jointly with Chalmers TMA285


Course information 2022


Course information 2021

Course information 2020


Course information 2019


Course information 2018


Course information 2017


Page manager Published: Wed 05 Jan 2022.