NMAK26008U Topics in Mathematical Finance

Volume 2026/2027
Content

Topics may include but are not limited to:

  • Optimal transport
  • Wasserstein distances
  • Martingale Optimal transport
  • Adapted/Causal Optimal transport
  • Regularized Optimal transport

 

  • Green investment under transition uncertainty
  • Climate stress testing
  • Dissecting green returns
  • Measurement of firm climate risks
  • ESG scores
  • Stochastic carbon regulation

 

Only a selection (based on lecturer and student interest) of the topics will be covered.

Learning Outcome

Knowledge 

Transport problems in financE

Green finance

 

Skills

At the end of the course the student is expected to be able to follow and reproduce arguments at a high abstract level corresponding to the contents of the course.

 

Competencies

At the end of the course the student is expected to be able to apply basic techniques and results to concrete examples.

See Absalon for a list of course literature.

A bachelor degree from the Departments of Mathematical Sciences (or something suitably close to that; plus (at least) working knowledge of continuous-time finance (e.g. from the course "Mathematical Finance"), and some experience with programming.

Academic qualifications equivalent to a BSc degree is recommended.
4 hours of lectures and and 2 hours of exercises per week for 9 weeks.
  • Category
  • Hours
  • Lectures
  • 36
  • Preparation
  • 76
  • Theory exercises
  • 18
  • Project work
  • 76
  • Total
  • 206
Continuous feedback during the course of the semester

Individual feedback given on the basis of assignments. 

Credit
7,5 ECTS
Type of assessment
Continuous assessment
Type of assessment details
2 equally weighted hand-ins over the course of the course.
Aid
All aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
One internal examiner.
Re-exam

20 minute oral exam without preparation with 2 internal examiners - no aids allowed during examination.

Criteria for exam assesment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.