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Financial Derivatives and Partial Differential Equations

Master's level | 7.5 credits | Course code: MMA711
Spring 2021
50% Day
Period: 18 January 2021 - 24 March 2021
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.

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Course Syllabus


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:

Study Guidance, tel: 031-772 3505


Department of Mathematical Sciences
41296 Göteborg

Visiting address: Chalmers Tvärgata 3

Phone: 0317721000

Page Manager: Jörgen Ölund
Last update: 2/18/2020 2:41 PM

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Page Manager: Jörgen Ölund|Last update: 10/16/2018

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