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. Examination support materials: Non- programmable calculator, according to model listed in faculty regulations
The grading scale used is A to F. Grade A is the highest passing grade in the grading scale, grade F is a fail.
For written exams, please note that the start time may change from 09:00 to 15:00 or vice versa until 14 days prior to the exam. The exam location will be published 14 days prior to the exam. Candidates must check their room allocation on Studentweb 3 days prior to the exam.
Type of assessment: Written exam
- 19.09.2019, 09:00
- 5 hours
- Withdrawal deadline