Syllabus, Master's level, 1MA209
- Education cycle
- Second cycle
- Main field(s) of study and in-depth level
- Financial Mathematics A1N, Mathematics A1N
- Grading system
- Fail (U), Pass (3), Pass with credit (4), Pass with distinction (5)
- Finalised by
- The Faculty Board of Science and Technology, 20 October 2022
- Responsible department
- Department of Mathematics
120 credits including 40 credits in mathematics. Several Variable Calculus, Several Variable Calculus, Limited Version, Several Variable Calculus M or Geometry and Analysis II. Probability and Statistics or Mathematical statistics KF. Proficiency in English equivalent to the Swedish upper secondary course English 6.
On completion of the course, the student should be able to:
- construct models for pricing of financial derivatives;
- price simple financial derivatives with risk neutral valuation;
- present financial models and pricing to various users of financial instruments;
- use stochastic calculus in various areas of application;
- give an account of Feyman-Kac's representation formula and be able to use it to find solutions of parabolic partial differential equations.
Diffusion processes, stochastic integration and Ito's formula. Arbitrage theory in continuous time. Black-Scholes equation for pricing of 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 rate and currency derivatives.
Lectures and problem solving sessions.
Written examination and assignments.
If there are special reasons for doing so, an examiner may make an exception from the method of assessment indicated and allow a student to be assessed by another method. An example of special reasons might be a certificate regarding special pedagogical support from the disability coordinator of the university.
The course can not be included in higher education qualification together with Financial mathematics II or the equivalent.
- Reading list valid from Autumn 2023
- Reading list valid from Autumn 2022
- Reading list valid from Autumn 2020
- Reading list valid from Spring 2019
- Reading list valid from Autumn 2015
- Reading list valid from Autumn 2012, version 3
- Reading list valid from Autumn 2012, version 2
- Reading list valid from Autumn 2012, version 1