A theoretical basis is provided for the mathematical modelling of financial products. Emphasis is laid on discrete time stochastic models, both single-period and multi-period. Subjects include: multifactor analysis and regression for financial models; modelling of asset dynamics, basis pricing theory for futures and options, interest rate derivatives; binomial trees for European and American options, leading to the continuous-time Black-Scholes model.
The main part of the course will be given by dr. J.H.M. Anderluh from TU Delft.