Semester of Instruction
Every second spring - odd-numbered years.
Objectives and Content
The theory of pricing financial derivatives, both in discrete and in continuous time is covered, including the Black-Scholes formula. Some theory of interest rate models is also included. The necessary theory of stochastic calculus and stochastic differential equations will be covered.
The course aims to give an introduction to the modern theory of mathematical finance.
Recommended Previous Knowledge
STAT220 Stochastic Processes, ECON361 Investment and Financing II is an advantage
Compulsory Assignments and Attendance
Forms of Assessment
Written examination: 5 hours.
The grading scale used is A to F. Grade A is the highest passing grade in the grading scale, grade F is a fail.
Type of assessment: Written exam
- 02.10.2017, 09:00
- 5 hours
- Withdrawal deadline
- Solheimsgt. 18 (Administrasjonsbygget), Eksamenslokale 3. etg.