2nd degree (Master)
Prof Yuri Kifer
Coordinator Office Hours:
Prof Yuri Kifer
Financial mathematics is not about predicting the price of stocks but about the theory which describes how derivative securities such as options should be priced. Any derivative security is based on another security such as stock whose price evolution is assumed to be described by a stochastic process. The most familiar type of derivative securities are European options which are contracts giving the right to buy a
stock for a prescribed price at a prescribed time.
This is a mathematical course based mainly on
probability theory and
it is not intended to give practical tools
directly applicable in real financial markets.
Learning outcomes - On successful completion of this module, students should be able to:
The students will learn few basic mathematical models and approaches for the analysis of financial markets
Teaching arrangement and method of instruction:
martingales, optimal stopping,Brownian motion, models of security markets: Black-Scholes and Cox-Ross-Rubinstein, derivative securities, binomial approximations, complete and incomplete markets, hedging and superhedging, risk evaluation, arbitrage, fundamental theorems of security markets
R.F.Bass, The basics of financial mathematics,
Additional Reading Material:
R.J.Williams, Introduction to the mathematics of finance, AMS 2006.
S.Shreve, Stochastic calculus for finance, vol.1,2, Springer 2004.
A.Shiryaev, Essentials of stochastic finance, World Scientific, 1999.
D.Lamberton and B.Lapeyre, Introduction to stochastic calculus applied to finance, Chapman&Hall, 2008.
End of year written/oral examination 0 %
Presentation 0 %
Participation in Tutorials 0 %
Project work 100 %
Assignments 0 %
Reports 0 %
Research project 0 %
Quizzes 0 %
Other 0 %