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Syllabus for

Academic year
TMA155 - Options and mathematics
 
Owner: TM
3,0 Credits (ECTS 4,5)
Grading: TH - Five, Four, Three, Not passed
Level: C
Department: 11 - MATHEMATICAL SCIENCES


Teaching language: English

Course module   Credit distribution   Examination dates
Sp1 Sp2 Sp3 Sp4 No Sp
0100 Examination 3,0 c Grading: TH   3,0 c   Contact examiner

In programs

TIEKA INDUSTRIAL ENGINEERING AND MANAGEMENT - Systems and Mathematics, Year 3 (compulsory)
TTFYA ENGINEERING PHYSICS, Year 4 (elective)
TM Teknisk matematik, Year 2 (elective)
EMMAS MSc PROGR IN ENGINEERING MATHEMATICS, Year 1 (elective)

Examiner:

Professor  Christer Borell



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

Linear algebra, analysis in several dimensions, and a basic course in mathematical statistics.

Aim

The course treats so called arbitrage and theoretic option price in the binomial model. By letting the number of time points in the binomial model. go to infinity, the Black-Scholes differential equation and option prices are obtained.

Content

Dominace and arbitrage, convexity in Rn, Gaussian processes and Brownian motion, the central limit theorem, the binomial model, the Black-Scholes model, self-financing strategies in the binomial model, the Black-Scholes differential equation, calls and puts of European and American type, divi-dends, currency derivatives, and exotic options.
The course ranges over 38 lectures hours.

Literature

Borell, Ch: Optioner och matematik, kompendium, Matematik Chalmers/GU.

Examination

Homework with credit points, Written examination.


Page manager Published: Thu 03 Nov 2022.