Differential Equations in Finance

Education facts

Code: MMA712

<p>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. </p>

Entry 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.

Education offerings

Each offering has its own dates and conditions. Closed offerings are retained as history and do not mean that a new application is open.

• Differential Equations in Finance

  Mälardalen University

  Start date: 30 March 2026

  End date: 7 June 2026

  Pace of study: 50 %