Jamil Baz & George Chacko : Financial Derivatives, Pricing Applications and Mathematics, Cambridge 2009.
Tomas_Bjork: Arbitrage Theory in Continuous Time, Oxford_Finance 2009.
Bruno Bouchard & Jean-Francois Chassagneux: Fundamentals and Advanced Techniques in Derivative Hedging, Springer 2016.
Yuliya MIshura: Financial Mathematics. ISTE Press & Elsevier 2016
Sottinen: Rahoitusteoria 2006.
Dieter Sondermann: Introduction to Stochastic Calculus for Finance, A New Didactic Approach, Springer Lecture Notes in Economics and Mathematical Systems (2007)
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