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


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


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

Rekommenderade valfria studier

Stochastic analysis

Studieavsnittets form

Exam, other methods will be described later