Financial Mathematics III
Syllabus, Master's level, 1MA042
This course has been discontinued.
- Code
- 1MA042
- Education cycle
- Second cycle
- Main field(s) of study and in-depth level
- Mathematics A1F
- Grading system
- Fail (U), Pass (3), Pass with credit (4), Pass with distinction (5)
- Finalised by
- The Faculty Board of Science and Technology, 3 November 2008
- Responsible department
- Department of Mathematics
Entry requirements
120 credit points including Financial Mathematics II, Measure Theory and Stochastic Integration, Partial Differential Equations with Applications to Finance
Learning outcomes
In order to pass the course (grade 3) the student should be able to
Content
Applications of measure theory and Girsanov's theorem. Optimal stopping time problems and free boundary problems with applications to options of American type. Levy processes and parabolic integro-differential equations with applications to modelling with jump processes. Hedging and super-hedging. Exotic financial derivatives.
Instruction
Lectures and problem solving sessions.
Assessment
Written and, possibly, oral examination at the end of the course. Moreover, compulsory assignments may be given during the course.