Introduction to Quantitative Finance 2400-QFU1IQF
1) Introduction to Options and other Financial Instruments
2) Future – Present Value Lemma
3) Binomial Model
4) Martingale Theory
5) Brownian Motion
6) Stochastic Calculus
7) Ito’s Lemma
8) Risk Neutral Valuation
9) Change of Numeraire
10) Girsanov’s Theorem
11) Transformation of SDE to PDE method: Feynman-Kac Stochastic Representation
12) Derivations of Black-Scholes Formula
13) Other Stochastic Differential Equations
14) Introduction to Fractional Brownian Motion
Type of course
Course coordinators
Term 2024Z: | Term 2023Z: |
Learning outcomes
The student will understand the mathematical foundations of Quantitative Finance.
With this knowledge the student will be able to understand and explain the underlying economic and mathematical principles which will permit him to apply the models on his own.
The acquired skills will permit the student to analyze prices processes and distinguish the most probable economic states which will prevail in the future.
Assessment criteria
Final exam 70%
Homework 30% submitted on time and in pairs
Bibliography
Basic
Hull, J. C. - Options Futures, and Other Derivatives
Etheridge, A. - A Course in Financial Calculus
Baxter, M., & Rennie, A. - Financial Calculus: An Introduction to Derivative Pricing.
Black, F. & Scholes, M. (1973) The pricing of options and corporate liabilities. The journal of political economy, 81(3), 637-654.
Shreve, S. E. - Stochastic Calculus for Finance I I: The Binomial Asset Pricing Model
Neftci, S. N. - An Introduction to the Mathematics of Financial Derivatives
Advance
Shreve, S. E. - Stochastic Calculus for Finance II: Continuous-Time Models
Karlin, S. and Taylor H. M. - A First Course in Stochastic Processes
Øksendal, B. Stochastic differential equations. In Stochastic differential equations
Additional information
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