Financial Derivatives and Partial Differential Equations

Master's level | 7.5 credits | Course code: MMA711

Spring 2021

50% Day

Göteborg

Period: 18 January 2021 - 24 March 2021
INSTRUCTION LANGUAGE: English

2 Opens 15 September GU-21753

2) Only EU/EEA citizens and students with approved residence permit in Sweden can apply

About the Course

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.

More Information

http://www.chalmers.se/sv/in...

Course Syllabus

MMA711

Requirements and Selection

Requirements: The equivalent of the course MMG810 Options and Mathematics or in all 90 credits in Mathematics and Mathematical statistics. The equivalent of the course MSA350 Stochastic Calculus is also required.

Selection: All eligible applicants who have applied before the deadline will be granted a place.

Tuition Fee

Application fee: 900 SEK
Full course cost: 14 875 SEK
First payment: 14 875 SEK

EU/EEA citizens, Swedish residence permit holders and exchange students do not pay fees. More information on: http://www.universityadmissions.se