Financial Mathematics

Kursens poäng (högskolepoäng, hp) 7,5
Kursen ges normalt Every year (in principle)
Tillhör forskarskola Matematik
Tillhör institution Matematiska vetenskaper
Kursstart 2012-01-16
Kursens slutdatum 2012-03-09
Kursansvarig
Christer Borell
christer.borell@chalmers.se
Kursbeskrivning


The course is based on previous knowledge such as
(a) Fourier and complex analysis (undergraduate level)
(b) metric spaces
(c) abstract Lebesgue integration
(d) the course \textit{Financial Derivatives and Stochastic Analysis} or equivalent knowledge.
The new course consists of two parts; one theoretical and one applied.
The theoretical part will treat various aspects of Brownian motion but also a rather detailed description of so called finite markets based on separation theorems of convex sets. Results from functional analysis, measure theory, and convexity will be given in Lecture Notes distributed to the students.
The applied part of the course is partly based on the Shreeve book Stochastic Calculus for Finance II, Continuous-Time Models, Chapters 7 (Exotic Options), 9 (Change of Num\'{e}raire), and 10 (Term-Structure Models). The Lecture Notes will complement these chapters in different ways.
Hopefully this new course will fit as a master's course in Period 3, 2012

Publicerad: ti 29 jan 2013.