Course Information

Course Code:
Course Number:
Code Course Name Language Type
MAT 420E Financial Mathematics English Elective
Local Credits ECTS Theoretical Tutorial Laboratory
3 6 3 0 0
Course Prerequisites and Class Restriction
Prerequisites (MAT 221 MIN DD
or MAT 221E MIN DD
or MAT 271 MIN DD
or MAT 271E MIN DD
or END 252 MIN DD
or END 252E MIN DD
or ISL 213 MIN DD
or ISL 213E MIN DD
or ECN 205E MIN DD)

and (MAT 201 MIN DD
or MAT 201E MIN DD
or MAT 210 MIN DD
or MAT 210E MIN DD
or MAT 232 MIN DD
or MAT 232E MIN DD)

Class Restriction None
Course Description
Introduction to options and stock markets, discrete models, continuous models, stochastic processes, arbitrage pricing theory, Ito’s lemma, Girsanov’s theorem, Feynman-Kac theorem, portfolio theory, forward contracts, Black-Scholes analysis, hedging, fundamental solutions of Black Scholes partial differential equation, numerical methods, option portfolios, applications to European and American markets.