Topics in Mathematical Finance
Course content
Topics may include but are not limited to:
- Optimal transport
- Wasserstein distances
- Martingale Optimal transport
- Adapted/Causal Optimal transport
- Regularized Optimal transport
- Green investment under transition uncertainty
- Climate stress testing
- Dissecting green returns
- Measurement of firm climate risks
- ESG scores
- Stochastic carbon regulation
Only a selection (based on lecturer and student interest) of the topics will be covered.
Knowledge
Transport problems in financE
Green finance
Skills
At the end of the course the student is expected to be able to follow and reproduce arguments at a high abstract level corresponding to the contents of the course.
Competencies
At the end of the course the student is expected to be able to apply basic techniques and results to concrete examples.
4 hours of lectures and and 2 hours of exercises per week for 9 weeks.
See Absalon for a list of course literature.
A bachelor degree from the Departments of Mathematical Sciences
(or something suitably close to that; plus (at least) working
knowledge of continuous-time finance (e.g. from the course
"Mathematical Finance"), and some experience with
programming.
Academic qualifications equivalent to a BSc degree is
recommended.
Individual feedback given on the basis of assignments.
- ECTS
- 7,5 ECTS
- Type of assessment
-
Continuous assessment
- Type of assessment details
- 2 equally weighted hand-ins over the course of the course.
- Aid
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal examiner.
- Re-exam
-
20 minute oral exam without preparation with 2 internal examiners - no aids allowed during examination.
Criteria for exam assessment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Single subject courses (day)
- Category
- Hours
- Lectures
- 36
- Preparation
- 76
- Theory exercises
- 18
- Project work
- 76
- English
- 206
Kursusinformation
- Language
- English
- Course number
- NMAK26008U
- ECTS
- 7,5 ECTS
- Programme level
- Full Degree Master
- Duration
-
1 block
- Placement
- Block 2
- Schedulegroup
-
A
- Capacity
- No limitation
The number of seats may be reduced in the late registration period - Studyboard
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Contracting faculty
- Faculty of Science
Course Coordinators
- Rolf Poulsen (4-74716e68426f63766a306d7730666d)
- Johannes Wiesel (6-7b6d69776970447165786c326f7932686f)
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Kursusinformation for indskrevne studerende