NMAA05113U Continuous Time Finance (FinKont)
MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics
- Stochastic integrals and Ito formula
- Stochastic differential equations
- Complet markets
- Martingale methods in finalcial mathematics
Ito calculus, stochastic differential equation and methods applied in continuous time financial models.
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.
To provide operational qualifications and insight in modern financial methods.
Example of course litterature:
Thomas bjork: "Arbitrage Theory in Continuous Time"
Either Stochastic Processes 2 or Advanced Probability Theory 1 (VidSand1).
Either Finansiering 1 (Fin1), Grundlæggende livsforsikringsmatematik 1 (Liv1), or similar.
Academic qualifications equivalent to a BSc degree is recommended.
- Theory exercises
Upon active participation in exercise classes, teaching assistant will provide feedback
As an exchange, guest and credit student - click here!
- 7,5 ECTS
- Type of assessment
- Written examination, 3 hours
- Type of assessment details
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal examiner.
30 minutes oral exam without preparation time and no aids, with several internal examiners.
Criteria for exam assesment
The student should convincingly and accurately demonstrate the knowledge, skills and competences described under Intended learning outcome.
- Course code
- 7,5 ECTS
- Full Degree Master
- 1 block
- Block 2
- Course capacity
- No limit
The number of seats may be reduced in the late registration period
- Study Board of Mathematics and Computer Science
- Department of Mathematical Sciences
- Faculty of Science
- Jesper Lund Pedersen (6-6e6977746976447165786c326f7932686f)