Theory of Finance

Postgraduate course

ECTS credits: 10
Teaching semesters
Course code: STAT240
Number of semesters: 1
Teaching language: English
Resources: Schedule

Select course description for semester

Objectives and Content

The theory of pricing financial derivatives, both in discrete and in continuous time is covered, including the Black-Scholes formula. Some theory of interest rate models is also included. The necessary theory of stochastic calculus and stochastic differential equations will be covered.

Learning Outcomes

The course aims to give an introduction to the modern theory of mathematical finance.

Semester of Instruction

Every second spring - odd-numbered years.

Required Previous Knowledge

The course is based on a least 30 ECTS Mathematics and 30 ECTS Statistics.

Recommended Previous Knowledge

Calculus, Linear Algebra, Statistics, and Stochastic Processes, corresponding to the courses MAT111, MAT112, MAT121; STAT110, STAT111, and STAT220. An Economy course in Investment and Financing is an advantage, but not neccessary.

Compulsory Assignments and Attendance

Compulsory exercises

Forms of Assessment

Written examination: 4 hours.

Grading Scale

The grading scale used is A to F. Grade A is the highest passing grade in the grading scale, grade F is a fail.

Examination Support Material

Non- programmable calculator, according to model listed in faculty regulations