Financial Derivatives and Partial Differential Equations
No fees are charged for EU and EEA citizens, Swedish residence permit holders and exchange students.
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