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Differential Equations in Finance

  • Credits 7.5  credits
  • Education ordinance Second cycle
  • Study location Västerås
  • Course code MMA712
  • Main area Mathematics/Applied Mathematics

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.

Occasions for this course

Autumn semester 2021

  • Autumn semester 2021

    Scope

    7.5 credits

    Time

    2021-08-30 - 2021-11-07 (part time 50%)

    Education ordinance

    Second cycle

    Course type

    Course

    Application code

    MDH-21181

    Language

    English

    Study location

    Västerås

    Course syllabus & literature

    See course plan and literature list (MMA712)

    Specific requirements

    At least 120 credits totally from these areas: technical, natural sciences, business administration or economics where Analytical Finance I 7,5 credits or equivalent is included. In addition Swedish course B/Swedish course 3 and English course A/English course 6 are required. For courses given entirely in English exemption is made from the requirement in Swedish course B/Swedish course 3.

    Selection

    University credits

  • Spring semester 2022

    Scope

    7.5 credits

    Time

    2022-03-28 - 2022-06-05 (part time 50%)

    Education ordinance

    Second cycle

    Course type

    Course

    Application code

    MDH-11065

    Language

    English

    Study location

    Västerås

    Course syllabus & literature

    See course plan and literature list (MMA712)

    Specific requirements

    At least 120 credits totally from these areas: technical, natural sciences, business administration or economics where Analytical Finance I 7,5 credits or equivalent is included. In addition Swedish course B/Swedish course 3 and English course A/English course 6 are required. For courses given entirely in English exemption is made from the requirement in Swedish course B/Swedish course 3.

    Selection

    University credits

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