Syllabus for |
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| TMA155 - Options and mathematics |
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| Owner: TM |
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3,0 Credits (ECTS 4,5) |
| Grading: TH - Five, Four, Three, Not passed |
| Level: C |
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Department: 11 - MATHEMATICAL SCIENCES
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Teaching language: English
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Credit distribution |
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Examination dates |
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Sp1 |
Sp2 |
Sp3 |
Sp4 |
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No Sp |
| 0100 |
Examination |
3,0 c |
Grading: TH |
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3,0 c
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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.