Overview
This unit introduces parabolic partial differential equations (PDEs) with financial applications. Basic solutions concepts and properties will be covered. Connections between PDE and probabilistic formulations will be established via the Feynman-Kac formula. Option pricing theory will be explored via the Black-Scholes equation, Dupire’s equation and Fokker-Planck equation for various models … For more content click the Read More button below.
Offerings
S2-01-CLAYTON-ON-CAMPUS
Rules
Enrolment Rule
Contacts
Chief Examiner(s)
Dr Kihun Nam
Unit Coordinator(s)
Dr Ivan Guo
Learning outcomes
On successful completion of this unit, you should be able to:
1.
Articulate specialised mathematical concepts within the field of partial differential equations;
2.
Recognise the complex connections between stochastic analysis and partial differential equations;
3.
Apply sophisticated mathematical modelling skills to problems in partial differential equations that relate to financial markets;
4.
Demonstrate critical thinking and problem solving skills within the context of financial mathematics;
5.
Formulate expert solutions, both analytical and numerical, to practical financial problems using specialised cognitive and technical skills within the field of partial differential equations;
6.
Communicate complex information in an accessible format to a non-mathematical audience.
Teaching approach
Active learning
Assessment
1 - Continuous assessment
2 - Final assessment - Exam (3 hours and 10 minutes)
Scheduled and non-scheduled teaching activities
Applied sessions
Seminars
Workload requirements
Workload