Teknillinen korkeakoulu, 
Institute of Mathematics

this page in Finnish

Mat-1.3603 Mathematical Finance,  5 op (2006)

Exams

Final exam. Date will be announced later.

Contents

  1. Arbitrage in discrete time models.
  2. Hedging in discrete time models.
  3. European and American options in the binomial tree.
  4. On pricing models in continuous time.
  5. Black& Scholes pricing formula.

Preliminaries

Courses Mat-1.2600 or Mat-1.2620, Mat-2.3111 and Mat-1.3602 contain useful preliminary information.

Course material

Course material will be delivered via email to course participants. Make sure the lecturer has your email address.

Timetable

The course will be lectured at fall 2006. Lectures on Mo 9-12 U322 and Tu 9-12 U322. First lecture on Mo 11.9., last on Tu 17.10. 2006. The course will be lectured in English. Excercises on Th 12-14 U322 ; first excercise on TH 14.9. 2006 and last on Th 19.10. 2006

Exercises

The exercises will be delivered via email to course participants. Make sure the lecturer has your email address. You get points for the final exam from the exercises. If you can't participate in the exercise sessions you can return the exercises carefully solved next to the room U307.

Enrollment

Enrollment through www-topi.

Teachers

Lecturer Esko Valkeila and assistant Mika Sirviö.