Instruction

Name Cr Method of study Time Location Organiser
Mathematical finance I 5 Cr Lecture Course 14.1.2020 - 27.2.2020
Name Cr Method of study Time Location Organiser
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; 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

Stochastic analysis

Completion methods

Exam, other methods will be described later