Financial Derivatives and Partial Differential Equations
About
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.
Prerequisites and selection
Entry requirements
The equivalent of the course MMG810 Options and Mathematics or in all 90 credits in Mathematics and Mathematical statistics.
Selection
All eligible applicants who have applied before the deadline will be granted a place.
Facilities
Mathematical 91̽»¨s is a joint department of Chalmers/University 91̽»¨. Your education takes place in the spacious and bright premises of Mathematical 91̽»¨s at the Chalmers campus Johanneberg, where there are lecture halls, computer rooms and group rooms. Here you can also find student lunch room and reading room, as well as student counsellors and student office.
