MA00BD35 Financial Mathematics (5 cr)
Cooperation network course
Network: Cross-institutional studies in advanced courses in mathematics and statistics
This course is offered through the Network for Advanced Studies in Mathematics. These studies are available for the following degree students:
- Bachelor's Degree Programme in Mathematics
- Master's Degree Programme in Mathematics
- Bachelor's Degree Programme in Mathematics (Subject Teacher)
- Master's Degree Programme in Mathematics (Subject Teacher)
- Bachelor's Degree Programme in Mathematics, Chemistry or Physics Subject Teacher Education and Primary Teacher Education (Specialication in Mathematics)
- Master's Degree Programme in Mathematics, Chemistry or Physics Subject Teacher Education and Primary Teacher Education (Specialication in Mathematics)
- Doctoral Programme in Mathematics and Statistics
- Doctoral Programme in Mathematics and Science (Specialication in Mathematics)
Description
Contents of the course:
- discrete time multiperiod model: self financing strategies, arbitrage, completeness, European contingent claims (discrete time).
- American contingent claims (discrete time) : martingales, optimal stopping,
- Black-Scholes model: Brownian motion and Ito's formula, European options; pricing and hedging
Learning outcomes
Learning objectives are:
- the theory for multiperiod (discrete time) stochastic models and their properties and usage in financial applications
- the theory of optimal stopping (discrete time) and its application in pricing American options
- basic poperties of Brownian motion and Ito's formula
- the theory of the Black-Scholes model and pricing of European options
Additional information
The course may be lectured more seldom than every second year
Description of prerequisites
BSc level analysis, calculus and probability theory