Introduction to Finance Mathematics

The aim of the course is to give an introduction to mathematical finance.

Among other topics, the course covers derivative pricing, financial portfolio management and interest rate theory.

Course contents: This course is about risk management for financial markets. Concepts treated are interest rate, arbitrage, forwards, options including Black-Scholes formula, optimal portfolios, CAPM and Value at risk.

Prerequisites: The maths courses mentioned under Eligibility are old versions of courses, and correspond to the current courses Mathematics II - Analysis, part A (MM5010) and Mathematics II - Linear algebra (MM5012).

The course consists of two elements, theory and computer exercises.


Teaching Format

Instruction is given in the form of lectures, exercise sessions and computer exercises.


Assessment

Examination for the course is done with a written examination, and written presentation of the computer exercises.

Examiner

The schedule will be available no later than one month before the start of the course. We do not recommend print-outs as changes can occur. At the start of the course, your department will advise where you can find your schedule during the course.


Note that the course literature can be changed up to two months before the start of the course.

Capinski & Zastawniak: Mathematics for finance. An introduction to financial engineering. Springer.

List of course literature Department of Mathematics

Course reports are displayed for the three most recent course instances.

New student
During your studies

Course web

You can find our course webpages on kurser.math.su.se.






Cookie settings

By allowing third-party services, you accept their cookies and the use of tracking technologies necessary for them to function properly.