MTH5560 Partial differential equations for finance
Faculty of Science
MTH5560 Partial differential equations for finance is a level 5, 6-credit-point, postgraduate unit from the Faculty of Science, offered in 2026 in Semester 2 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2026
- Semester 2
- Clayton
- Assessment
- Exam 50%
- and 1 other task
This is the 2026 handbook entry. See the 2027 entry.
Reviews
No reviews yetNo reviews yet. Be the first to review MTH5560.
Requisites
Before MTH5560
No prerequisites or corequisites besides the enrolment rules below.
After MTH5560
No unit lists MTH5560 as a prerequisite in the 2026 handbook.
Enrolment rules
COREQUISITE: Enrolment in the Master of Financial Mathematics or the Master of Mathematics
PREREQUISITE: MTH3251 or equivalent
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. The dynamic programming principle and theory of stochastic control will be briefly introduced. You will learn to derive relevant PDEs for financial problems, study their properties, and solve using numerical methods such as finite difference methods, Monte-Carlo methods, and deep learning.
Offerings in 2026
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- Continuous assessmentDemonstration50%
- Final assessment - Exam (3 hours and 10 minutes)Examination50%
Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.
Learning outcomes
When you finish 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.
Workload and teaching
- Seminars36 hours
- Applied sessions11 hours
- Teaching approachActive learning
- 3 hours of seminars;
- One hour of applied classes and
- 8 hours of independent study per week (including working on assessments and revision)
Active learning will occur in lectures and applied sessions.
Contacts
- Unit Coordinators
- Dr Ivan Guo
- Chief Examiners
- Dr Kihun Nam
Common questions
What are the prerequisites for MTH5560?
MTH5560 has no prerequisites, but enrolment rules apply.
When is MTH5560 offered?
In 2026, MTH5560 runs in Semester 2 at Clayton.
Does MTH5560 have an exam?
Yes. The exam is worth 50% of the final mark, alongside 1 other task.