Högskolan i Halmstad
Halmstad University - For the Development of Organisations, Products and Quality of Life

Differential equations in financial mathematics, 7.5 credits

Administrative information
Syllabus (pdf)  
Study period: 2-3, autumn term 2009 - spring 2010
Course code: MA8011
Programme: Courses for exchange students
Schedule:  
Course responsible: Ljudmila A Bordagexternal link
Other members of faculty:  
Examiner: Ljudmila A Bordagexternal link
   

News


Here will any news about the course being published.

Course description


The course aims for the student to acquire knowledge of modern tools and instruments within financial mathematics together with a good knowledge of the Black-Scholes model.

Upon completion of the course the student shall be able to:

  • define and describe basic financial concepts
  • derive and explain heat equation, initial and boundary conditions
  • define, describe and explain the Black-Scholes equation
  • apply the Black-Scholes equation and its variations
  • calculate the value of different options such as European, American, exotic and path-dependent options

Language of instruction


Teaching is in English.

Prerequisites and conditions of admission

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Page last updated 2010-11-01
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