STAT3210 Mathematical Finance (5 op)
Verkosto-opintojakso
Verkosto: Vaasan korkeakoulukonsortio
Verkosto: Matematiikan ja tilastotieteen syventävien kurssien ristiinopiskelu
Tämä opintojakso on tarjolla Matematiikan syventävät opinnot -ristiinopiskeluverkostossa. Verkoston opinnot ovat tarjolla seuraaville opiskelijoille:
- Matematiikan kandidaattiohjelma
- Matematiikan maisteriohjelma
- Matematiikan aineenopettajien kandidaattiohjelma
- Matematiikan aineenopettajien maisteriohjelma
- Matematiikan, kemian tai fysiikan aineenopettajan ja luokanopettajan kandidaattiohjelma (matematiikan opintosuunta)
- Matematiikan, kemian tai fysiikan aineenopettajan ja luokanopettajan maisteriiohjelma (matematiikan opintosuunta)
- Matematiikan ja tilastotieteen tohtoriohjelma
- Matemaattisten tieteiden ja luonnontieteiden tohtoriohjelma (matematiikan opintosuunta)
Kuvaus
The course covers the basic mathematical theory for modeling and pricing of financial instruments in continuous time. The focus in the course is on modeling stocks and pricing of stock options in the Black Scholes model, built on geometric Brownian motion. The course also covers the theory of interests and pricing of different interest instruments. The purpose of the course is to introduce students to the stochastic techniques employed in derivative pricing.
Osaamistavoitteet
For a passing grade, the student must be able to
i- Understand and apply probability theory, including discrete and continuous random variables.
ii- Analyze joint distributions and use properties such as expectation and variance in financial contexts.
iii- Model financial assets using stochastic processes and solve problems in financial mathematics.
iv- Apply stochastic calculus techniques such as Itô's Lemma in pricing and hedging financial derivatives.
v- solve some simple partial and stochastic differential equations.
Lisätietoja
The Financial mathematics course is suitable as a master level course for students in engineering, fi-nance, and economics at least and also for doctoral students with some additional study assignments be-ing based on the discipline area of the student (to be agreed separately with the teacher).
Esitietojen kuvaus
The course requires: Several Variable Calculus and Differential Equations, Probability or Probability with Applications or probability and stochastic processes.