Instruction

Name Cr Method of study Time Location Organiser
Mathematical finance II 5 Cr Lecture Course 10.3.2020 - 29.4.2020
Name Cr Method of study Time Location Organiser
Mathematical finance II 5 Cr Lecture Course 12.3.2019 - 8.5.2019
Mathematical finance II 5 Cr Lecture Course 30.10.2017 - 15.12.2017

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.

Prerequisites

Probability theory I,II, and their prerequisites

Learning outcomes

Option pricing in continuous time

Timing

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

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

Contents

Financial markets in continuous time. Black and Scholes formula. Incomplete market models. Interest rate models.

Study materials

Lecture notes; Baz & Chacko: Financial Derivatives

Recommended optional studies

Stochastic analysis

Completion methods

Exam, other methods will be described later