### Instruction

Name | Cr | Method of study | Time | Location | Organiser |
---|---|---|---|---|---|

Mathematical finance I | 5 Cr | Lecture Course | 14.1.2020 - 27.2.2020 | ||

Mathematical finance I | 5 Cr | Lecture Course | 15.1.2019 - 28.2.2019 | ||

Mathematical finance I | 5 Cr | Lecture Course | 6.9.2017 - 2.11.2017 |

### Target group

Optional course.

Master's Programme in Mathematics and Statistics is responsible for the course.

The course belongs to the Mathematics and Applied mathematics module.

The course is available to students from other degree programmes.

### Prerequisites

Probability Theory I .II

### Learning outcomes

Option pricing in discrete time

### Timing

Recommended time/stage of studies for completion: 1. or 2. year

Term/teaching period when the course will be offered: varying

### Contents

Arbitrage pricing theory and Market completeness. Pricing in incomplete markets. The necessary concepts from convex analysis will be also introduced.

### Study materials

Lecture notes; FĂ¶llmer & Schied: Stochastic finance an introduction in discrete time

### Assessment practices and criteria

Exam and excercises, Course will be graded with grades 1-5

### Recommended optional studies

Stochastic analysis

### Completion methods

Exam, other methods will be described later