Financial Derivatives, 7.5 hpSecond level
The object of this course is to provide an introduction to arbitrage theory in continuous time and in particular to pricing and hedging theory for financial derivatives. The course also contains an introduction to stochastic differential equations and Itô calculus, which are the main mathematical tools used in this field of research.
More information can be found on the department's websiteDepartment of Mathematics (incl. Math. Statistics) www.math.su.se/matstat/index.cgi.en
Special eligibility requirementsPrerequisites for the course are 60 hp in mathematical statistics including the courses Probability theory II, FC, 7.5 hp (MT5002) and Stochastic processes and simulation II, FC, 7.5 hp (MT5004) or equivalent. Also required is knowledge equivalent to Swedish upper secondary school course English B or equivalent to one of the following tests; Cambridge CPE and CAE: Pass, IELTS: 6.0 (with no part of the test below 5.0), TOEFL (paper based): 550 (with minimum grade 4 on the written test part), TOEFL (computer based): 213, TOEFL (internet based): 79.
Selection: No selection.
Start period: Period 1 - starts during the first half of the semester
Tuition fees only concern citizens outside the EU, EES and Switzerland First instalment: 17500 SEK Total course/programme fee: 17500 SEK