NMAA05113U Continuous Time Finance (FinKont)
Volume 2014/2015
Education
MSc Programme in Actuarial
Mathematics
MSc Programme in Mathematics-Economics
MSc Programme in Mathematics-Economics
Content
- Stochastic differential equations
- stochastic integrals
- arbitrage
- complet markets
- martingale methods in finalcial mathematics
Learning Outcome
Knowledge:
Stochastic differential equation and methods applied in life
insurance models.
Skills:
At the end of the course, the students are expected to be able
to
- Apply theorems on stochastic integrals and stochastic differential equations, including theorems such as: Ito's formula, Feynman-Kac representations, martingale representations, Girsanov's theorem.
- Determine arbitrage free prices of financial claims including determining partial differential equations for price functions.
- Deduce if a diffusion model for the market is arbitrage free and if it is complete and to be familiar with the 1st and 2nd fundamental theorems of asset pricing including the determination of martingale measures.
- Apply concepts for portfolios including self financing and replicating.
- Apply the theory to determine the Black-Scholes price for a call option.
Competencies:
To provide operational qualifications and insight in modern
financial methods
Academic qualifications
Mål og integralteori (MI)
and either FInansiering 1 (Fin1) or Grundlæggende
livsforsikringsmatematik 1 (Liv1). Otherwise similar
Teaching and learning methods
4 hours of lectures and 3
hours of exercises per week for 7 weeks.
Workload
- Category
- Hours
- Exam
- 3
- Lectures
- 28
- Preparation
- 154
- Theory exercises
- 21
- Total
- 206
Sign up
Self Service at KUnet
As
an exchange, guest and credit student - click here!
Continuing Education - click here!
Exam
- Credit
- 7,5 ECTS
- Type of assessment
- Written examination, 3 hours---
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal examiner.
- Re-exam
- 30 minutes oral exam without preparation time and no aids, with several internal examiners.
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome.
Course information
- Language
- English
- Course code
- NMAA05113U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 2
- Schedule
- A (Tues 8-12 + Thurs 8-17)
- Course capacity
- No limit
- Continuing and further education
- Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Course responsibles
- Jesper Lund Pedersen (6-6e6977746976447165786c326f7932686f)
Phone+ 45 35 32 07 75, office:
04.3.11
Saved on the
01-12-2014