ATENEO DE MANILA UNIVERSITY

LOYOLA SCHOOLS

COURSE SYLLABUS

Catalogue Number: MA 195A.6 Course Title: Seminar on Partial Differential Equations

Department: Mathematics School: Science and Engineering
Sem and S.Y.: 2nd, 2018-19 Prerequisites: MA 161, MA 171
Credit: 3 units Faculty: Emmanuel Cabral, PhD (ecabral@ateneo.edu)
Course Files: http://tinyurl.com/MTCourseFiles Mark Tolentino, PhD (mtolentino@ateneo.edu)

Schedule: Section A MWF 10:00-11:00 SEC A 302

Section B MWF 15:00-16:00 SEC A 302

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.

B. Course Learning Outcomes

At the end of the course, the student should be able to:
1. (K,S) Compute the Fourier series of certain functions.
2. (K,S) Apply Fourier series in finding the formal solution to certain partial differential equations.
3. (K) Analyze rigorously the convergence properties of Fourier series.
4. (K,A) Demonstrate appreciation of the relationship between the Fourier series and the Fourier transform.
5. (K,S) Apply Fourier transforms to solve certain partial differential equations.
6. (K,S) Solve the Black-Scholes partial differential equation for certain financial derivatives with a given payoff
function at maturity.
7. (S) Apply the Fourier transform method in solving related problems.
8. (A) Demonstrate appreciation of the importance of partial differential equations in fields like mathematical
finance and physics.

C. Course Outline and Timeframe

Timeframe
Topics
(includes exams)
Fourier Series
• Definition
• Computation 10.5 hours
• Convergence properties
• Application to PDEs
Exam 1: Week of Feb. 18, 2019
Fourier Transform
• Complex form of the Fourier series
• Passage from Fourier series 10.5 hours
• Definition
• Computation
Exam 2: Week of March 11, 2019
Parabolic PDEs
• Heat equation over an infinite interval
• Solution using the Fourier transform 12 hours
• Gaussian kernel
• Solution to the Black-Scholes PDE and similar PDEs
Exam 3a: Week of March 25, 2019
Exam 3b: Week of April 1, 2019
Related Problems
• Green’s Function and the Black-Scholes PDE 9 hours
• Fourier transform method and the wave equation
Exam 4: April 24-26, 2019 (final exam days for graduating students)
D. Teaching Strategies
• Lectures and discussions
• Exercises and worked-out examples
• Individual consultations
• Group oral report

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