Introduction to Finance Mathematics
The aim of the course is to give an introduction to mathematical finance.
Among other topics, the course covers derivative pricing, financial portfolio management and interest rate theory.
Prerequisites
The maths courses mentioned under Eligibility are old versions of courses, and correspond to the current courses Mathematics II - Analysis, part A (MM5010) and Mathematics II - Linear algebra (MM5012).
Course contents
This course is about risk management for financial markets. Concepts treated are interest rate, arbitrage, forwards, options including Black-Scholes formula, optimal portfolios, CAPM and Value at risk.
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Course structure
The course consists of two elements, theory and computer exercises.
Teaching format
Instruction is given in the form of lectures, exercise sessions and computer exercises.
Assessment
Examination for the course is done with a written examination, and written presentation of the computer exercises.
Examiner
A list of examiners can be found on
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Schedule
The schedule will be available no later than one month before the start of the course. We do not recommend print-outs as changes can occur. At the start of the course, your department will advise where you can find your schedule during the course. -
Course literature
Note that the course literature can be changed up to two months before the start of the course.
Capinski & Zastawniak: Mathematics for finance. An introduction to financial engineering. Springer.
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Course reports
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More information
New student
During your studiesCourse web
We do not use Athena, you can find our course webpages on kurser.math.su.se.
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Contact
