Kaisa_2012_3_photo by Veikko Somerpuro

Enrol

Timetable

Here is the course’s teaching schedule. Check the description for possible other schedules.

DateTimeLocation
Tue 12.3.2019
14:15 - 16:00
Fri 15.3.2019
10:15 - 12:00
Tue 19.3.2019
14:15 - 16:00
Fri 22.3.2019
10:15 - 12:00
Tue 26.3.2019
14:15 - 16:00
Fri 29.3.2019
10:15 - 12:00
Tue 2.4.2019
14:15 - 16:00
Fri 5.4.2019
10:15 - 12:00
Tue 9.4.2019
14:15 - 16:00
Fri 12.4.2019
10:15 - 12:00
Tue 16.4.2019
14:15 - 16:00
Fri 26.4.2019
10:15 - 12:00
Tue 30.4.2019
14:15 - 16:00
Fri 3.5.2019
10:15 - 12:00
Wed 8.5.2019
10:15 - 13:00

Other teaching

20.03. - 17.04.2019 Wed 12.15-14.00
Dario Gasbarra
Teaching language: English

Material

Lecture material

Tasks

Conduct of the course

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).

Description

Optional course.

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

Stochastic analysis

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