Search programme

​Use the search function to search amongst programmes at Chalmers. The programme overview and the programme syllabus relating to your studies are generally from the academic year you began your studies.

​​​

Syllabus for

Academic year
MVE095 - Options and mathematics
 
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
0106 Examination 5,0 c Grading: TH   5,0 c   26 May 2007 am V,  01 Sep 2007 am V

In programs

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

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.

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.

Goal

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.

Organisation

The course comprises approximately 50 lecture hours.

Literature

Borell, C.: Introduction to the Black-Scholes Model, compendium. School of Mathematical Sciences, Chalmers University of Technology and Göteborg University.

Examination

Assignments. Written examination.


Page manager Published: Thu 03 Nov 2022.