Skip to main content
Breadcrumb

Financial Derivatives and Partial Differential Equations

Course
Master’s level
7,5 credits (ECTS)
Study pace
50%
Time
Day
Location
Göteborg
Study form
Campus
Language
English
Duration
-
Application open
-
Application code
GU-21753
Tuition
Full education cost: 14 875 SEK
First payment: 14 875 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 15 December 2020.

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.

For
more information

Prerequisites and selection

Requirements

The equivalent of the course MMG810 Options and Mathematics or in all 90 credits in Mathematics and Mathematical statistics. The equivalent of the course MSA350 Stochastic Calculus is also required.

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.

Maps for
Campus Johanneberg