Kursussøgning, efter- og videreuddannelse – Københavns Universitet

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Kursussøgning, efter- og videreuddannelse

Continuous Time Finance (FinKont)

Practical information
Study year 2016/2017
Time
Block 2
Programme level Full Degree Master
ECTS 7,5 ECTS
Course responsible
  • Jesper Lund Pedersen (6-6e6977746976447165786c326f7932686f)
Phone+ 45 35 32 07 75, office: 04.3.11
  • Department of Mathematical Sciences
Course number: NMAA05113U

Course content

 

  • Stochastic differential equations
  • stochastic integrals
  • arbitrage
  • complet markets
  • martingale methods in finalcial mathematics

Learning outcome

Knowledge:
Stochastic differential equation and methods applied in life insurance models.

Skills: 
At the end of the course, the students are expected to be able to

  • Apply theorems on stochastic integrals and stochastic differential equations, including theorems such as: Ito's formula, Feynman-Kac representations, martingale representations, Girsanov's theorem.
  • Determine arbitrage free prices of financial claims including determining partial differential equations for price functions.
  • Deduce if a diffusion model for the market is arbitrage free and if it is complete and to be familiar with the 1st and 2nd fundamental theorems of asset pricing including the determination of martingale measures.
  • Apply concepts for portfolios including self financing and replicating.
  • Apply the theory to determine the Black-Scholes price for a call option.

 

Competencies:
To provide operational qualifications and insight in modern financial methods

Recommended prerequisites

Mål og integralteori (MI) and either FInansiering 1 (Fin1) or Grundlæggende livsforsikringsmatematik 1 (Liv1). Otherwise similar

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Education

MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics

Studyboard

Study Board of Mathematics and Computer Science

Course type

Single subject courses (day)

Duration

1 block

Schedulegroup

A
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Teaching and learning methods

4 hours of lectures and 3 hours of exercises per week for 7 weeks.

Capacity

No limit

Language

English

Workload

Category Hours
Lectures 28
Preparation 154
Theory exercises 21
Exam 3
English 206

Exam

Type of assessment

Written examination, 3 hours
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Aid

All aids allowed

NB: If the exam is held at the ITX, the ITX will provide you a computer. Private computer, tablet or mobile phone CANNOT be brought along to the exam. Books and notes should be brought on paper or saved on a USB key.

Marking scale

7-point grading scale

Criteria for exam assessment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome.

Censorship form

No external censorship
One internal examiner.

Re-exam

30 minutes oral exam without preparation time and no aids, with several internal examiners.

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