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Syllabus for

Academic year
MVE095 - Options and mathematics
 
Syllabus adopted 2012-02-22 by Head of Programme (or corresponding)
Owner: MPENM
7,5 Credits
Grading: TH - Five, Four, Three, Not passed
Education cycle: Second-cycle
Major subject: Mathematics
Department: 11 - MATHEMATICAL SCIENCES


Teaching language: English
Open for exchange students
Block schedule: LA

Course module   Credit distribution   Examination dates
Sp1 Sp2 Sp3 Sp4 Summer course No Sp
0106 Examination 7,5c Grading: TH   7,5c   26 May 2014 am H,  18 Jan 2014 am V,  20 Aug 2014 am V

In programs

MPCAS COMPLEX ADAPTIVE SYSTEMS, MSC PROGR, Year 2 (elective)
MPENM ENGINEERING MATHEMATICS AND COMPUTATIONAL SCIENCE, MSC PROGR, Year 1 (elective)
TKIEK INDUSTRIAL ENGINEERING AND MANAGEMENT - Financial mathematics, Year 2 (elective)
TKTEM ENGINEERING MATHEMATICS, Year 2 (elective)

Examiner:

Professor  Christer Borell



  Go to Course Homepage

Eligibility:

For single subject courses within Chalmers programmes the same eligibility requirements apply, as to the programme(s) that the course is part of.

Course specific prerequisites

Standard courses in Real Analysis (including several variables), Linear Algebra, and Probability (or Statistics). No previos knowledge in Lebeque Integration or Stocastic Calculus is required.

Aim

The purpose is to present arbitrage theory and its applications to pricing problems of financial derivatives in the binomial model. In the limit the Black-Scholes differential equation and option prices are obtained.

Learning outcomes (after completion of the course the student should be able to)

see aim above

Content

The Dominace Principle. Gaussian Processes and Brownian Motion. The Central Limit Theorem. The Binomial Model and Black-Scholes Model. Self-Financing Portfolios. The Black-Scholes Differential Equation. Calls and Puts. Path-Dependent Options. Dividends. Currency Derivatives. Elementary portfolio theory.

Organisation

The course comprises approximately 50 lecture hours.

Literature

Borell, C.: Introduction to the Black-Scholes Model, compendium (freely available online at www.math.chalmer.se/~borell).

Examination

Assignments. Written examination.


Published: Mon 28 Nov 2016.