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Financial Modelling with Stochastic Partial Differential Equations

Lecturer: Dr. Alexander Kalinin

Schedule and Venue

Dr. Alexander Kalinin
Dates and Times:
Tuesday, 16:15 - 17:00 and Wednesday, 12:15 - 13:45

First lecture: Tuesday, 13 April


Dr. Alexander Kalinin

Dates and Times:

Tuesday, 17:00 - 17:45

First exercise: Tuesday, 13 April

Final Exam Thursday, 5 August, 9:00 - 12:00

The lectures and the exercise sessions will be held online via zoom and all the course material will be available in Uni2work at If you want to attend the course, please register as soon as possible in Uni2work or send an e-mail from your LMU address to

Course Description

The aim of this course is to give a concise introduction to a class of parabolic stochastic partial differential equations with a particular focus on financial modelling. In the first part of the semester, we will deal with Gaussian processes, including fractional Brownian motions, Ornstein-Uhlenbeck processes and white noises, and consider the Kolmogorov-Chentsov continuity theorem in a multidimensional setting. In the second part, we will derive unique solutions to such stochastic equations, analyse their path and probabilistic properties and consider relevant applications in mathematical finance.


  • Dalang R., Khoshnevisan D., Mueller, C., Nualart, D. and Xiao, Y.: A Minicourse on Stochastic Partial Differential Equations, Springer, 2009.
  • Lototsky S. V. and Rozovsky, B. L.: Stochastic Partial Differential Equations, Springer, 2017.
  • Röckner, M. and Liu, W.: Stochastic Partial Differential Equations: An Introduction, Springer, 2015.
  • Hairer, M.: An Introduction to Stochastic PDEs, arXiv preprint, 2009.

All three books are available as PDF files for LMU students at the university library ( and the article, cited in the fourth place, is publicly available.

For who is this course?

Target Participants: Master students of Financial and Insurance Mathematics or Mathematics.

Pre-requisites: Probability theory and foundations of stochastic processes in continuous time.

Applicable credits: 6 ECTS. Students may apply the credits from this course to:

  • the Master in Financial and Insurance Mathematics, PO 2019 (WP14)
  • the Master in Mathematics (WP 47.2+3 or WP 15)


The online exam will take place on Thursday, 5 August, from 9 am to 12 pm by means of Uni2work.