| Code |
Course Name |
Language |
Type |
| MAT 471E |
Financial Mathematics |
English |
Compulsory /
Elective |
| Local Credits |
ECTS |
Theoretical |
Tutorial |
Laboratory |
| 3 |
6 |
3 |
0 |
0 |
| Course Prerequisites and Class Restriction |
| Prerequisites |
MAT 232 MIN DD
or MAT 232E MIN DD
or BIO 210E MIN DD
or BLG 210E MIN DD
or CEV 210 MIN DD
or CEV 210E MIN DD
or DEN 210E MIN DD
or EEE 210E MIN DD
or EEF 210 MIN DD
or EEF 210E MIN DD
or FIZ 210 MIN DD
or GEM 210E MIN DD
or GEO 220 MIN DD
or GEO 220E MIN DD
or INS 210 MIN DD
or INS 210E MIN DD
or KIM 271 MIN DD
or MAK 210E MIN DD
or MAT 201 MIN DD
or MAT 201E MIN DD
or MAT 210 MIN DD
or MAT 210E 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. |
|
