Financial Derivatives

7.5 credits

Course, Master's level, 1MA209

Autumn 2024 Autumn 2024, Uppsala, 50%, On-campus, English

Autumn 2024 Autumn 2024, Uppsala, 50%, On-campus, English For exchange students

About the course

Diffusion processes, stochastic integration and Ito's formula. Arbitrage theory in continuous time. Black-Scholes' equation for pricing financial instruments. Feynman-Kac's representation formula. Risk-neutral valuation and hedging. Complete and incomplete markets. Applications to financial instruments such as options, forwards, futures, swaps, interest rates and currency derivatives.

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