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
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
Academic qualifications
Continuous time
finance
Teaching and learning methods
4 hours of lectures per week
for 7 weeks.
Workload
- Category
- Hours
- Exam
- 1
- Lectures
- 28
- Preparation
- 177
- Total
- 206
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Exam
- Credit
- 7,5 ECTS
- Type of assessment
- Oral examination, 30min30-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.
Course information
- Language
- English
- Course code
- NMAK14018U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 1
- Schedule
- A (Tues 8-12 + Thurs 8-17)7 weeks
- 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
- Kamille Sofie Tågholt Gad (3-77737f4c6d807c3a7077)
Saved on the
01-12-2014