120 credits including 90 credits in mathematics. Financial Derivatives. Participation in Probability Theory II or Integration Theory. Proficiency in English equivalent to the Swedish upper secondary course English 6.
The course provides you with basic knowledge of parabolic partial differential equations and their relationship with stochastic differential equations and related applications. The course contains: Stochastic calculus and diffusion processes. The Kolmogorov equations. Stochastic control theory, optimal stopping problems and free boundary problems. Integro-differential equations.
