|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|
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.
Probability Theory I .II
Option pricing in discrete time
Recommended time/stage of studies for completion: 1. or 2. year
Term/teaching period when the course will be offered: varying
Arbitrage pricing theory and Market completeness. Pricing in incomplete markets. The necessary concepts from convex analysis will be also introduced.
Lecture notes; Föllmer & 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
Exam, other methods will be described later