Financial Derivatives and Partial Differential Equations

About this programme

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 the course. In addition to the basic entry requirements, knowledge equivalent to the course Options and Mathematics (MMG810) or a total of 90 credits in mathematics and mathematical statistics is required. All eligible applicants who have applied before the deadline will be granted a place. 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.