Introduction to financial modeling
Autumn 2012
General Information
This course gives an introduction to mathematical finance, with an emphasis on modeling.
Contents
Organization and Examination
This course gives 9 hp.
The proposed course consists of lectures and related computer exercises.
There is no written exam for the course and instead the students are supposed
to submit their solutions to the exercises in the form of reports.
Lectures
The standard two hour lectures. The lectures will be given in Algoritmen (B - Building, between entrance 27 and 29, corridor A).
Computer Exercises
The course is going to include extensive computer exercises.
Project (optional)
One can receive an additional 3 hp by carrying out a project, which can take place after the course is finished. More information will be given during the course.
Course Literature
The main books to be used during the course are,
[1] John
C. Hull, Options, Futures and
other derivatives.
[2] T. C. Gard, Introduction to Stochastic Differential Equations.
Additional references :
[3] Davis M.H.A., Linear Estimation and
Stochastic Control.
[4] Bernt Øksendal, Stochastic Differential Equations: An Introduction with Applications.
[5] Paul Wilmott, Paul Wilmott Introduces
Quantitative Finance.
[6]
Thomas Björk, Arbitrage Theory in
Continuous Time.
Prerequisites
Basic knowledge in linear
algebra and probability theory. For the computer
exercises, a fair skill in coding (e.g., MATLAB) is assumed.
Related Courses
System
identification, Sensor fusion. Machine
learning
Contact Persons
Dr. Jesica Escobar, tel 013 - 284027, email: escobar_at_isy.liu.se
Dr. Saikat Saha, tel 013 - 284027, email: saha_at_isy.liu.se.
Page responsible: Escobar J. and Saha S.
Last updated: 2012-12-07