Mathematical Models in Finance and Industry

Module code: 832G1
Level 7 (Masters)
15 credits in spring teaching
Teaching method: Workshop, Lecture
Assessment modes: Report

Topics include: partial differential equations (and methods for their solution) and how they arise in real-world problems in industry and finance. For example: advection/diffusion of pollutants, pricing of financial options.

Module learning outcomes

  • Basic understanding of how the advection-diffusion equations arise in the modelling of the transport of a pollutant and the pricing of options.
  • Familiarity with formulae for solutions of the advection equation and the diffusion equation.
  • Knowledge of numerical methods for such problems, including their stability analysis.