| 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. |
|
