Partial Differential Equations with Applications to Finance

5 credits

Syllabus, Master's level, 1MA255

A revised version of the syllabus is available.
Code
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, 27 August 2009
Responsible department
Department of Mathematics

Entry requirements

120 credit points including Introduction to Partial Differential Equations

Learning outcomes

In order to pass the course (grade 3) the student should

  • know the Ito-integral and how to use stochastic differential calculus;
  • know how to use Feynman - Kac's representation formula and the Kolmogrov equations;
  • know the theory for stochastic control, optimal stopping problems and free boundary problems;
  • be able to apply the theory to financial problems;

Content

Stochastic calculus and diffusion processes. The Kolmogorov equations. Stochastic control theory, optimal stopping problems and free boundary problems. Integro-differential equations.

Instruction

Lectures and problem solving sessions.

Assessment

Written and, possibly, oral examination at the end of the course. Moreover, compulsory assignments may be given during the course.

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