MATH 195a6 Syllabus PDF
MATH 195a6 Syllabus PDF
MATH 195a6 Syllabus PDF
LOYOLA SCHOOLS
COURSE SYLLABUS
A. Course Description
This course is an introduction to partial differential equations with applications in financial mathematics and other
areas. The relevant topics included are Fourier series, separation of variables, Fourier transform, Black-Scholes
partial differential equation, and the Black-Scholes formula.
E. Assessment Methods
Four Exams 50 points each
Group Report 50 points
TOTAL 250 points
Final raw score = total scores in exams and group report x 100%
250
Conversion of raw scores to letter grades:
92 – 100 A 60 – 68 C
86 – 91 B+ 50 – 59 D
77 – 85 B Below 50 F
69 – 76 C+
F. References
Main References
1. Pinsky, Mark A., Partial Differential Equations and Boundary-Value Problems with Applications, Third Edition
Mc-Graw Hill 2011.
2. Wilmott, P., Howison, S. and Dewynne J., The Mathematics of Financial Derivatives: A Student Introduction,
Cambridge University Press, 1995
3. Wilmott, P., Paul Wilmott Introduces Quantitative Finance Vol. 1 Second Edition, Wiley, 2013
Additional References
1. Pinchover, Y. and Rubenstein, J., An Introduction to Partial Differential Equations, Cambridge University Press, 2005
2. Borthwick, D., Introduction to Partial Differential Equations, Springer, 2017
3. Salsa, S., Vegni, F., Zaretti, A., Zunino, P., A Primer on PDEs : Models, Methods, Simulations, Springer Milan, 2013
4. Drábek, P.; Holubová, G., Elements of Partial Differential Equations, 2nd Edition, Berlin: De Gruyter, 2014
5. Logan, J.D., Applied Partial Differential Equations, Springer, 2015
6. Salsa, S., Partial Differential Equations in Action: From Modelling to Theory, Springer, 2015
7. Renardy, M., and Rogers, R., An Introduction to Partial Differential Equations, Springer, 1993
G. Policies
1. A maximum of 9 cuts is allowed. Exceeding the number of cuts would result in a final grade of W.
2. Any form of distraction to the class is prohibited. The teacher reserves the right to send a student out
whenever appropriate.
3. Cheating, in any form, will be punished per the rules stated in the student handbook.
4. A make-up exam may be given only if the student has valid reason for missing the exam, and upon a written
approval by the Assistant Dean for Academic Affairs and the Department Chair.
5. Requests to change exam scores should be made within three class meetings after exams are returned. Any
complaints or requests made after three meetings will not be honored and the original exam score will be
considered final.
6. Pencils and friction pens are not allowed during exams.
7. Students are required to fill out the online student information sheet in the following link:
https://goo.gl/forms/BVhINLdL8OSiJ9Gr1
Please use your obf.ateneo.edu account when filing out the form. The deadline for responses is on
February 1, 2018. Failure to meet the deadline Þ minus one for each day of tardiness
H. Consultation Hours
Emmanuel Cabral: MWF 16:00-17:30
Mark Tolentino: MWF 14:00-14:40 & 17:20-18:00