Postgraduate course

Theory of Finance

  • ECTS credits10
  • Teaching semesterSpring
  • Course codeSTAT240
  • Number of semesters1
  • LanguageEnglish 
  • Resources

Teaching semester

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.

Learning Outcomes

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

Compulsory exercises

Forms of Assessment

Written examination: 5 hours. Examination support materials: Non- programmable calculator, according to model listed in faculty regulations

Grading Scale

The grading scale used is A to F. Grade A is the highest passing grade in the grading scale, grade F is a fail.