Continuous Time Finance (FinKont)
- Stochastic integrals and Ito formula
- Stochastic differential equations
- Complet markets
- Martingale methods in finalcial mathematics
MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics
Ito calculus, stochastic differential equation and methods applied in continuous time financial models.
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.
To provide operational qualifications and insight in modern financial methods.
4 hours of lectures and 3 hours of exercises per week for 7 weeks.
Example of course litterature:
Thomas bjork: "Arbitrage Theory in Continuous Time"
Sandsynlighedsteori (Sand) - alternatively Mål- og integralteori
(MI) from previous years.
Either Stochastic Processes 2 or Advanced Probability Theory 1 (VidSand1).
Either Finansiering 1 (Fin1), Grundlæggende livsforsikringsmatematik 1 (Liv1), or similar.
Academic qualifications equivalent to a BSc degree is recommended.
Upon active participation in exercise classes, teaching assistant will provide feedback
- 7,5 ECTS
- Type of assessment
Written examination, 3 hours
- Type of assessment details
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal examiner.
Criteria for exam assessment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome.
Single subject courses (day)
- Theory exercises
- Course number
- 7,5 ECTS
- Programme level
- Full Degree Master
- Block 2
- No limit
The number of seats may be reduced in the late registration period
- Study Board of Mathematics and Computer Science
- Department of Mathematical Sciences
- Faculty of Science
- Jesper Lund Pedersen (6-746f7d7a6f7c4a776b7e7238757f386e75)
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Courseinformation of students