Undervisning

Namn Sp Studieform Tid Ort Arrangör
Mathematical finance II 5 Cr Föreläsningskurs 10.3.2020 - 29.4.2020
Mathematical finance II 5 Cr Föreläsningskurs 12.3.2019 - 8.5.2019
Mathematical finance II 5 Cr Föreläsningskurs 30.10.2017 - 15.12.2017

Målgrupp

Optional course.

Master's Programme in Mathematics and Statistics is responsible for the course.

The course belongs to the Mathematics and Applied mathematics module.

Tidigare studier eller kunskaper

Probability theory I,II, and their prerequisites

Kunskapsmål

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

Innehåll

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

Studiematerial

Lecture notes; Baz & Chacko: Financial Derivatives

Rekommenderade valfria studier

Stochastic analysis

Studieavsnittets form

Exam, other methods will be described later