MTH5112 - Partial differential equations in finance - 2019

6 points, SCA Band 2, 0.125 EFTSL

Postgraduate - Unit

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.



Organisational Unit

School of Mathematical Sciences

Chief examiner(s)

Professor Gregoire Loeper


Professor Gregoire Loeper

Unit guides



  • Second semester 2019 (On-campus)


MTH3011 or equivalent


Elliptic and Parabolic partial differential equations. Sobolev Spaces. Weak and strong solutions. Maximum principle. Comparison principle. Viscosity solutions. Stochastic control theory. The dynamic programing principle. Feynman-Kac representation formulas.


On completion of this unit students will be able to:

  1. Develop specialised mathematical knowledge and skills within the field of partial differential equations.
  2. Understand the complex connections between stochastic analysis and partial differential equations.
  3. Apply critical thinking to problems in partial differential equations that relate to financial models.
  4. Apply problem solving skills within the finance context.
  5. Formulate expert solutions 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.


NOTE: From 1 July 2019, the duration of all exams is changing to combine reading and writing time. The new exam duration for this unit is 3 hours and 10 minutes.

Examination (3 hours): 60% (Hurdle)

Continuous assessment: 40%

Hurdle requirement: To pass this unit a student must achieve at least 50% overall and at least 40% for the end-of-semester exam.

Workload requirements

Four contact hours per week

See also Unit timetable information