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Financial Derivatives and Partial Differential Equations

Course
MMA712
Master’s level
7.5 credits (ECTS)
Study pace
50%
Time
Day
Location
Göteborg
Study form
Campus
Language
English
Duration
-
Application period
-
Application code
GU-17022
Tuition
Full education cost: 15 998 SEK
First payment: 15 998 SEK

No fees are charged for EU and EEA citizens, Swedish residence permit holders and exchange students.

More information about tuition fees

Application closed, late application opens 13 December 2024.

About

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.

Prerequisites and selection

Entry requirements

The equivalent of the course MMG810 Options and Mathematics or in all 90 credits in Mathematics and Mathematical statistics.

Selection

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

Facilities

Mathematical Sciences is a joint department of Chalmers/University of Gothenburg. Your education takes place in the spacious and bright premises of Mathematical Sciences at the Chalmers campus Johanneberg, where there are lecture halls, computer rooms and group rooms. Here you can also find student lunch room and reading room, as well as student counsellors and student office.