NMAK14018U Optimal stopping in finance and life insurance (AAM)

Volume 2014/2015
Education
MSc Programme in Mathematics
MSc Programme in Statistics
MSc Programme in Mathematics-Economics
Content

Optimal stopping

  • definition
  • general theory
  • methods of solutions focusing on examples

Areas of applications 
        1. pricing American options in mathematical finance and life insurance

        2. financial engineering

Learning Outcome

Knowledge: 
Optimal stopping theory and applications to finance
and life insurance

Skills: 
At the end of the course, the students are expected to be able to

  • Apply general theory on optimal stopping
  • Apply methods for solutions of concrete examples
  • Pricing American derivatives

 

Competences:
To make the student operational and to give the student knowledge in applications of optimal stopping  in finance and life insurance

Continuous time finance
4 hours of lectures per week for 7 weeks.
  • 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
Aid
Without aids
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.