# MA908 - Partial Differential Equations in Finance

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

## 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).

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)
B (Examination only) 2 hour examination (May) (NOT IN USE) 100%
C (Assessed/examined work) Formal Project 50%
2 hour examination (May) 50%
D (Assessed/examined work) Coursework 20%
2 hour examination (May) 80%
15 CATS (Module code: MA908-15)
B (Examination only) 2 hour examination (May) (NOT IN USE) 100%
C (Assessed/examined work) Formal Project 50%
2 hour examination (May) 50%
D (Assessed/examined work) Coursework 20%
2 hour examination (May) 80%

## Module availability

This module is available on the following courses:

N/A

N/A

###### Optional
• Postgraduate Taught Financial Mathematics (N3G1) - Year 1