NMAK13012U Levy Processes in Finance (AAM)

Volume 2013/2014
Education
MSc programme in Statistics
MSc programme in Acturial Mathematics
MSc programme in Mathematics-Economics
Content

Levy processes:
  definitions
  properties
  constructions
Pricing options in models with Levy processes

Learning Outcome
Knowledge: Levy processes and application to finance

Skills: 
At the end of the course, the students are expected to be able to
  • Apply theorems on Levy processes
  • pricing option in Levy models



Competences:
To make the student operational and to give the student knowledge in applications of Levy processes in finance

Continuous time finance
4 hours of lectures per week
  • Category
  • Hours
  • Exam
  • 1
  • Lectures
  • 28
  • Preparation
  • 177
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Oral examination, 30min
30-minute oral exam without time for preparation.
Marking scale
7-point grading scale
Censorship form
No external censorship
Exam period
Several internal examiners
Criteria for exam assesment

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