Financial Mathematics and Statistics, Lectures
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5 crCourse dates
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Financial Mathematics and Statistics, 5 cr
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After completing this course, the student
- Understands the no-arbitrage principle in option pricing
- Understands the main mathematical concepts in continuous-time finance, including Ito¿s lemma, martingale processes, Radon-Nikodym derivative, and Girsanov's theorem
- Is familiar with continuous and discrete-time models and methods to price and hedge and options and other derivatives on equities, indexes, and currencies
- Is familiar with LIBOR market model for interest rate derivatives
- Is familiar with stochastic volatility models
- Understands advanced Monte-Carlo methods with variance reduction techniques and can apply them
- Can implement derivative pricing models with stochastic volatility in Matlab or in some other environment
- Can calibrate option pricing models with stochastic volatility using option market data
- Can estimate the GARCH volatility models with maximum likelihood estimation methods and time-series data
- Understands the main results of recent scientific papers on the field
- Arbitrage pricing
- Derivative contracts in financial markets
- Pricing with tree models
- Stochastic processes for asset price modelling in continuous time
- Ito calculus
- Martingale approach to arbitrage theory
- Girsanov¿s theorem
- Derivative pricing and hedging in continuous time
- LIBOR market model
- Stochastic volatility in continuous time
- GARCH models for stochastic volatility
- Maximum likelihood estimation
Other learning events
Exercise:
28.10.2021 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
04.11.2021 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
11.11.2021 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
18.11.2021 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
25.11.2021 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
02.12.2021 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
09.12.2021 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
13.01.2022 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
20.01.2022 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
27.01.2022 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
03.02.2022 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
10.02.2022 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
17.02.2022 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
24.02.2022 14:00 - 16:00, TAU Konetalo K1702 auditorio (120)
Lecture:
27.10.2021 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
03.11.2021 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
10.11.2021 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
17.11.2021 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
24.11.2021 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
01.12.2021 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
08.12.2021 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
12.01.2022 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
19.01.2022 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
26.01.2022 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
02.02.2022 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
09.02.2022 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
16.02.2022 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
23.02.2022 12:00 - 14:00, TAU Konetalo K1702 auditorio (120)
Prerequisites
As a prerequisite, a course on probability theory and statistics is highly recommended. Moreover, basic skills in programming/scientific computing is highly recommended.Recommended Prerequisites
- Mathematical and statistical software, DATA.STAT.510, 5 cr
- The Concept and Practice of Mathematical Finance
- Mark Joshi
- ISBN: 978-0521823555
- Exam matrial: No
General scale, 0-5
Contact information
Email: open.studies.tau [at] tuni.fi
Phone: 0294 520 200
More information concerning Open University studies
tuni.fi/open-university
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Look information at Applying to Open University studies.
