Partial Differential Equations with Applications to Finance

Education facts

Code: 1MA255

The course provides you with basic knowledge of parabolic partial differential equations and their relationship with stochastic differential equations and related applications. The course contains: Stochastic calculus and diffusion processes. The Kolmogorov equations. Stochastic control theory, optimal stopping problems and free boundary problems. Integro-differential equations.

Entry requirements

120 credits including 90 credits in mathematics. Financial Derivatives. Participation in Probability Theory II or Integration Theory. Proficiency in English equivalent to the Swedish upper secondary course English 6.

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.

• Partial Differential Equations with Applications to Finance

  Uppsala University

  Uppsala

  Start date: 22 March 2027

  End date: 6 June 2027

  Pace of study: 33 %