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MA908 - Partial Differential Equations in Finance

  • Module code: MA908
  • Module name: Partial Differential Equations in Finance
  • Department: Mathematics Institute
  • Credit: 12, 15

Content and teaching | Assessment | Availability

Module content and teaching

Principal aims

To provide both a theoretical and a practical understanding of partial differential equations, including numerical methods, and to link this with problems from Finance. To give an introduction into optimal control and Markov Chain Monte Carlo methods.

Principal learning outcomes

Derive finite-difference formulae for a variety of differential operators on a variety of meshes and obtain the order of accuracy of the approximations; Obtain stability limits for numerical schemes; Know which method is appropriate for a given type of a problem; Understand and be able to program a variety of boundary conditions; Test a program for reliability; Demonstrate analytical skills and critical thinking; Understand the strengths and weaknesses of particular methods used to numerically price derivatives; Ability to choose the appropriate numerical method for a given problem (option pricing).

Departmental link

http://www2.warwick.ac.uk/fac/cross_fac/financial_maths/warwickmsc/outline

Other essential notes

Available for MSc Financial Mathematics students

Module assessment

Assessment group Assessment name Percentage
12 CATS (Module code: MA908-12)
C (Assessed/examined work) Assessed Course Work 50%
Examination - May 50%
15 CATS (Module code: MA908-15)
B (Examination only) Examination - May 100%
Assessed Course Work 20%
Examination - May 80%

Module availability

This module is available on the following courses:

Core

N/A

Optional Core

N/A

Optional

N/A