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Syllabus for

Academic year
TMA285 - Financial derivatives and stochastic analysis
 
Owner: TM
5,0 Credits (ECTS 7,5)
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
0101 Examination 5,0 c Grading: TH   5,0 c   16 Dec 2006 am V,  13 Apr 2007 am V,  28 Aug 2007 am V

In programs

EMMAS MSc PROGR IN ENGINEERING MATHEMATICS, Year 1 (elective)
TM Teknisk matematik, Year 2 (elective)

Examiner:

Professor  Christer Borell
Bitr professor  Torbjörn Lundh



Eligibility:

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

Content

Some of the concepts that will be discussed in the course are
Measure theory, probability theory; Brownian motion an Stochastic Integration. Ito's, and Feynman-Kac's formulas. The connection between Brownian motion and PDEs. Stochastic differential equations. Self financed portfolio strategies and arbitrage. Black-Scholes' model, and stability analysis of that model. Wiener measures and Cameron-Martin's Theorem. Martingale representation. Complete capital markets. Financial derivative depending on multiple stocks. Currency depending options. Exotic options. Bonds- and interest models. Option price in Gaussian interest models.
The course has 56 hours of lecturing or teaching.

Organisation

Three lectures every week plus one problem session.

Literature

S. Shreve, Stochastic Calculus for Finance II, Continuous-Time Models, Springer, 2004.

Examination

Hand-ins that can give you bonus on the written final. Note that, there is only one reexamination per year, and this is givein early fall.


Page manager Published: Thu 03 Nov 2022.