The course exam is scheduled on wednesday 8th of may from 10.00 to 13.00 in lecture room C122.
The exam topic will the Black and Scholes model in continuous time including the pricing and
hedging of contingent claims (options).
Master's Programme in Mathematics and Statistics is responsible for the course.
The course belongs to the Mathematics and Applied mathematics module.
Probability theory I,II, and their prerequisites
Option pricing in continuous time
Recommended time/stage of studies for completion: 1. or 2. year
Term/teaching period when the course will be offered: varying
Financial markets in continuous time. Black and Scholes formula. Incomplete market models. Interest rate models.
Lecture notes; Baz & Chacko: Financial Derivatives
Exam, other methods will be described later