Entry requirements

Mathematics courses worth 40 points or equivalent including basic knowledge of analysis, linear algebra and probability theory.

Aims

The course is meant to teach fundamental concepts and skills in financial mathematics.

Emphasis will be put on mathematical methods of project evaluation and so called "real options".

Content

Compounding, internal rate of return, non-linear equations, spot

curves, the least squares methods, regression models, cubic

splines, cash flow analysis, project evaluation, iterative

methods for systems of linear equations, basic optimisation,

modelling of stock prices, lognormal distribution, options, real

options, lattices, introduction to Monte Carlo methods.

Instruction

Lectures and tutorials. EXCEL will be used to illustrate the

material.

Assessment

Written exam at the end of the course. Moreover

obligatory homework assignments must be submitted.