401-3888-00L  Introduction to Mathematical Finance

SemesterSpring Semester 2019
LecturersM. Larsson
Periodicityyearly recurring course
Language of instructionEnglish
CommentA related course is 401-3913-01L Mathematical Foundations for Finance (3V+2U, 4 ECTS credits). Although both courses can be taken independently of each other, only one will be recognised for credits in the Bachelor and Master degree. In other words, it is not allowed to earn credit points with one for the Bachelor and with the other for the Master degree.



Courses

NumberTitleHoursLecturers
401-3888-00 VIntroduction to Mathematical Finance4 hrs
Mon13:15-15:00HG G 3 »
Thu08:15-10:00HG D 1.1 »
18.02.13:15-15:00HG D 3.2 »
25.02.13:15-15:00HG D 3.2 »
M. Larsson
401-3888-00 UIntroduction to Mathematical Finance
Wed 14-15 or Wed 15-16
1 hrs
Wed14:15-15:00HG F 26.3 »
15:15-16:00HG F 26.3 »
M. Larsson

Catalogue data

AbstractThis is an introductory course on the mathematics for investment, hedging, portfolio management, asset pricing and financial derivatives in discrete-time financial markets. We discuss arbitrage, completeness, risk-neutral pricing and utility maximisation. We prove the fundamental theorem of asset pricing and the hedging duality theorems, and also study convex duality in utility maximization.
ObjectiveThis is an introductory course on the mathematics for investment, hedging, portfolio management, asset pricing and financial derivatives in discrete-time financial markets. We discuss arbitrage, completeness, risk-neutral pricing and utility maximisation, and maybe other topics. We prove the fundamental theorem of asset pricing and the hedging duality theorems in discrete time, and also study convex duality in utility maximization.
ContentThis course focuses on discrete-time financial markets. It presumes a knowledge of measure-theoretic probability theory (as taught e.g. in the course "Probability Theory"). The course is offered every year in the Spring semester.

This course is the first of a sequence of two courses on mathematical finance. The second course "Mathematical Finance" (MF II), 401-4889-00, focuses on continuous-time models. It is advisable that the present course, MF I, is taken prior to MF II.

For an overview of courses offered in the area of mathematical finance, see Link.
Lecture notesThe course is based on different parts from different textbooks as well as on original research literature. Lecture notes will not be available.
LiteratureLiterature:

Michael U. Dothan, "Prices in Financial Markets", Oxford University Press

Hans Föllmer and Alexander Schied, "Stochastic Finance: An Introduction in Discrete Time", de Gruyter

Marek Capinski and Ekkehard Kopp, "Discrete Models of Financial Markets", Cambridge University Press

Robert J. Elliott and P. Ekkehard Kopp, "Mathematics of Financial Markets", Springer
Prerequisites / NoticeA related course is "Mathematical Foundations for Finance" (MFF), 401-3913-01. Although both courses can be taken independently of each other, only one will be given credit points for the Bachelor and the Master degree. In other words, it is also not possible to earn credit points with one for the Bachelor and with the other for the Master degree.

This course is the first of a sequence of two courses on mathematical finance. The second course "Mathematical Finance" (MF II), 401-4889-00, focuses on continuous-time models. It is advisable that the present course, MF I, is taken prior to MF II.

For an overview of courses offered in the area of mathematical finance, see Link.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits10 credits
ExaminersM. Schweizer
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 30 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

 
Main linkIntroduction to Mathematical Finance
Only public learning materials are listed.

Groups

No information on groups available.

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Data Science MasterInterdisciplinary ElectivesWInformation
Mathematics BachelorSelection: Financial and Insurance MathematicsWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation