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.
Occasions for this course
Spring semester 2024
-
Apply for freestanding course to Differential Equations in Finance to Spring semester 2024 (part time 50%) to Differential Equations in Finance to Spring semester 2024 (part time 50%) Apply for programme course
Scope
7.5 credits
Time
2024-03-25 - 2024-06-02 (part time 50%)
Education level
Second cycle
Course type
Freestanding course, Programme course
Application code
MDU-11065
Language
English
Study location
Västerås
Course syllabus & literature
See course plan and literature list (MMA712)Specific requirements
At least totally 120 credits in the engineering, natural sciences, business administration or economics areas 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
-
Apply for freestanding course to Differential Equations in Finance to Spring semester 2025 (part time 50%) to Differential Equations in Finance to Spring semester 2025 (part time 50%) Apply for programme course
Scope
7.5 credits
Time
2025-03-31 - 2025-06-08 (part time 50%)
Education level
Second cycle
Course type
Freestanding course, Programme course
Application code
MDU-11065
Language
English
Study location
Västerås
Course syllabus & literature
See course plan and literature list (MMA712)Specific requirements
At least totally 120 credits in the engineering, natural sciences, business administration or economics areas 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