MMA712 Differential equations in finance

Now huge volumes of financial derivative securities are traded on the market every day. This causes a big demand for experts who know how to price financial derivative securities. In most cases, the determination of the prices of financial derivative securities may be reduced to solving partial differential equation problems. In this course, we discuss how to establish the corresponding partial differential equations and find the final and necessary boundary conditions for a specific derivative product. If possible, we derive its explicit solution and describe some properties of the solution.

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Teacher (fall13)

Examiner: Richard Bonner