MATS3280 Advanced course in financial mathematics (5 cr)

Open the course unit brochure on Sisu

Study level:

Advanced studies

Grading scale:

0-5

Language:

English, Finnish

Responsible organisation:

Department of Mathematics and Statistics

Curriculum periods:

2024-2025, 2025-2026, 2026-2027, 2027-2028

Description

Brownian motion, Lévy processes, semimartingales
Short introduction to stochastic integration
Arbitrage and completeness
The Black-Scholes model
Pricing and hedging of options
Sensitivity parameters
Utility theory

Learning outcomes

After completing the course, the student knows basics of continuous time stochastic models in finance.

Additional information

Opintojakso on osa moduulia MATAKTKOK Vakuutusmatematiikan temaattinen moduuli.

Description of prerequisites

MATS2300 Models in financial mathematics, MATS260 Probability Theory 1 and MATS262 Probability Theory 2

Study materials

Study material on the course web page (in Finnish).
Alvarez, L., Koskinen, L., Rahoituksen teoriaa ja sovelluksia aktuaareille. Vakuutusvalvontavirasto, 2007.
Bingham, N. H., Kiesel, R., Risk-neutral valuation: pricing and hedging of financial derivatives, Springer, 2004.
Lamberton, D., Lapeyre, B., Introduction to stochastic calculus applied to finance, 2nd ed., Chapman & Hall, 2008.
Lecture notes: Geiss, C., Financial mathematics (Rahoitusteorian stokastisia malleja), 2015.

Literature

Alvarez, L., Koskinen, L., Rahoituksen teoriaa ja sovelluksia aktuaareille. Vakuutusvalvontavirasto, 2007.
Bingham, N. H., Kiesel, R., Risk-neutral valuation: pricing and hedging of financial derivatives, Springer, 2004.
Lamberton, D., Lapeyre, B., Introduction to stochastic calculus applied to finance, 2nd ed., Chapman & Hall, 2008.

Completion methods

Method 1

Description:

E-learning, educational meetings, final exam.

Evaluation criteria:

The grade is based on the number of points in the final exam. At least half of the points are needed to pass the course.

Time of teaching:

Period 4

Select all marked parts

Parts of the completion methods

Participation in teaching (5 cr)

Type:

Participation in teaching