SF271V Web Based Course in Financial Mathematics 7.5 credits

• The correlation between now prices, forward prices, future prices and rate of interest.
• Rent theory; bonds, yield and duration, term structure; (long and short rates), rent swapping and FRAs (Forward Rate Agreements), term rates,
• Arbitrage-pricing; risk-neutral pricing, market price for risk, martingal pricing,
• Financial derivatives; terms (forwards and futures) and options with different underlying (shares, bonds, currencies, “futures” and raw materials), bonds, optimal hedging.

To give the participants a basic knowledge of expressions and mathematical models within the field of Financial Mathematics and to give them the ability to modify and analyze such models. The participants should also know the most common types of financial contract: terms (forwards and futures), options, bonds and swaps. This means that the student after taking the course should be able to:

• Calculate the price of some financial contracts such as currency terms, other term contracts and options with different underlying (e.g. shares, bonds, currencies, futures and raw materials)
• Calculate the duration for rent portfolios
• Decide on optimal hedge positions

The student should also have such an understanding and familiarity with the mathematical model that he/she (to some extent) can adapt existing models to new situations and carry out a mathematical analysis.

• •60 credits that consist of 7,5 academic credits in Mathematics and
  •6 credits in Mathematical Statistics or 7,5 credits in Statistics and
  •documented proficiency in Swedish B/ Swedish 3 and English A/English 6 (for courses given in Swedish). 
  For courses given in English requires English B/ English 6 or equivalent.

Kurslitteraturen är till största delen elektronisk och gratis för den som går kursen, (kurskompendiet finns dessutom i pdf-format för nedladdning av vem som helst). Studenten skriver själv ut de sidor han/hon vill titta på i pappersformat. Kurslitteraturen består av genomgångar, exempel och lösta övningsuppgifter. I kursen ingår också självrättande prov och system för inlämningsuppgift (vilket tillsammans utgör examinationen på kursen). Lang, H.: Lecture Notes on Financial Mathematics (pdf-fil; fri nedladdning via kursens informationssida) Hull. John C.: Options, Futures and Other Derivatives 3:e, 4:e eller 5:e upplagan (Prentice-Hall) rekommenderas som referenslitteratur.

• TEN4 - Examination, 1.5 credits, grading scale: P, F
• TEN3 - Examination, 1.5 credits, grading scale: P, F
• TEN2 - Examination, 1.5 credits, grading scale: P, F
• TEN1 - Examination, 1.5 credits, grading scale: P, F
• TEN5 - Examination, 1.5 credits, grading scale: P, F

Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.

The examiner may apply another examination format when re-examining individual students.

If the course is discontinued, students may request to be examined during the following two academic years.

Examination: Examination is carried out on Internet. For further information, please contact the teacher/contact person concerned.

The course ends with an oral or written exam.

Passed examinations.

• All members of a group are responsible for the group's work.
• In any assessment, every student shall honestly disclose any help received and sources used.
• In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.