Entry requirements

Financial mathematics MN1.

Aims

The course gives a comprehensive presentation of

mathematical methods of financial derivative

pricing based on the arbitrage theory.

Content

Financial derivatives: forwards, futures, options,

swaps. Diffusion processes, stochastic integration,

Ito's formula. Partial differential equations.

Arbitrage theory of asset pricing, hedging, risk

evaluation. Term structure of interest rate.

Concrete models of interest rates. Volatility

estimation.

Instruction

Lectures and problem solving sessions, computer

exercises.

Assessment

Written and, possibly, oral examination at the end

of the course.

Moreover, compulsory assignments may be given

during the course.