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Course module: 201300060
201300060
Mathematical Finance
Course infoSchedule
Course module201300060
Credits (ECTS)5
Course typeCourse
Language of instructionEnglish
Contact persondr. B. Roorda
E-mailb.roorda@utwente.nl
Lecturer(s)
Contactperson for the course
dr. B. Roorda
Examiner
dr. B. Roorda
Academic year2022
Starting block
1B
Application procedureYou apply via OSIRIS Student
Registration using OSIRISYes
Content
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.

 
Assumed previous knowledge
Basic knowledge of option theory as in the module Finance for Engineers
Desired: Statistics and Probability (191506103)
Participating study
Master Industrial Engineering and Management
Participating study
Master Applied Mathematics
Participating study
Master Applied Physics
Participating study
Master Business Information Technology
Participating study
Master Computer Science
Required materials
Book
Hull, J.: "Options, Futures and other Derivatives" most recent global edition.
Recommended materials
-
Instructional modes
Lecture

Tests
Test

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Kies de Nederlandse taal