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 Course module: 201300060
 201300060Mathematical Finance
 Course info Schedule
Course module201300060
Credits (ECTS)5
Course typeStudy Unit
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
Starting block
 1B
Application procedureYou apply via OSIRIS Student
Registration using OSIRISYes
 Aims
 body { font-size: 9pt; font-family: Arial } table { font-size: 9pt; font-family: Arial } The aim of this course is to provide a theoretical basis for the mathematical modelling of financial products. The course addresses 5 learning objectives. At the end of the course, a student is able to: recognize and describe standard forms of futures, options, and other derivatives, and understands their purpose discern the various underlying model classes of continuous time stochastic processes, including Wiener, Generalized Wiener, Geometric Brownian motion, Martingale processes, and knows how to apply stochastic calculus to the Itô class apply the standard models for pricing derivatives (tree models, Black-Scholes model, yield curve models), and can work with the notion of implied volatility based on these models analyse the risk in options, determine hedging strategies underlying these pricing models apply numerical option price techniques, including Monte Carlo simulation
 Content
 body { font-size: 9pt; font-family: Arial } table { font-size: 9pt; font-family: Arial } 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.
 Requirements
 body { font-size: 9pt; font-family: Arial } table { font-size: 9pt; font-family: Arial } Bachelor students who have the possibility to follow a master course during their bachelor programme and would like to take this course can submit a motivated request no later than 14 days before the start of the quartile, containing: Study progress overview from Osiris Description of how the student meets the course’s prerequisites Approval of the programme director (or a delegate from the student’s bachelor programme) for following this master course The request should be sent either to Niek van der Veen (email: n.vanderveen@utwente.nl) or Mieke van der Meulen (email: m.g.vandermeulen.utwente.nl)
Assumed previous knowledge
 Basic knowledge of option theory as in the module Finance for Engineers Desired: Statistics and Probability (191506103)
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 Master Industrial Engineering and Management
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 Master Applied Mathematics
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 Master Applied Physics
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