MMG810 Options and Mathematics, 7.5 hec

In this course you will get an introduction to mathematical finance with an emphasis on stock and currency options. The basic concepts of mathematical finance, such as arbitrage, self-financing strategies, hedging, etc, will be defined clearly in the context of the binomial model, where the stock process is a geometric random walk. When the number of periods in the binomial model goes to infinity, we obtain the famous Black-Scholes model.
Syllabus

The course is given
  •  in the second half of autumn
  • jointly with Chalmers MVE095

 

 

Course information 2019


Course information 2018

 

 

Course information 2017

 
 

Published: Tue 18 Feb 2020.