MTH5112 Partial differential equations in finance
Faculty of Science
MTH5112 Partial differential equations in finance is a level 5, 6-credit-point, postgraduate unit from the Faculty of Science, offered in 2020 in Semester 2 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2020
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
The 2027 handbook has no page for MTH5112. This is its 2020 entry, the latest one.
Reviews
No reviews yetNo reviews yet. Be the first to review MTH5112.
Requisites
Before MTH5112
Prerequisites
Pass these before you enrol.
After MTH5112
No unit lists MTH5112 as a prerequisite in the 2020 handbook.
Enrolment rules
PREREQUISITE: MTH3011 or equivalent
Overview
Elliptic and Parabolic partial differential equations. Sobolev Spaces. Weak and strong solutions. Maximum principle. Comparison principle. Viscosity solutions. Stochastic control theory. The dynamic programing principle. Feynman-Kac representation formulas.
Offerings in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- In-semester assessment40%
- Examination (3 hours and 10 minutes)Threshold hurdle60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
Develop specialised mathematical knowledge and skills within the field of partial differential equations.
- 2
Understand the complex connections between stochastic analysis and partial differential equations.
- 3
Apply critical thinking to problems in partial differential equations that relate to financial models.
- 4
Apply problem solving skills within the finance context.
- 5
Formulate expert solutions 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.
Workload and teaching
- Lectures36 hours
- Applied sessions11 hours
- Teaching approachActive learning
Four contact hours per week
Active learning will occur in lectures and tutorials.
Contacts
- Unit Coordinators
- Professor Gregoire Loeper
- Chief Examiners
- Professor Gregoire Loeper
Common questions
What are the prerequisites for MTH5112?
MTH5112 has no prerequisites, but enrolment rules apply.
When is MTH5112 offered?
In 2020, MTH5112 runs in Semester 2 at Clayton.
Does MTH5112 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.
More details
- Credit points
- 6
- Level
- 5
- Study level
- Postgraduate
- Faculty
- Faculty of Science
- Organisational unit
- School of Mathematics
- Type
- Coursework
- EFTSL
- 0.125
- Student contribution
- SCA Band 2
- Study abroad
- Not available
- Handbook years
- 2020