SF271V Web Based Course in Financial Mathematics 7.5 credits
Webbaserad grundkurs i finansiell matematik
Educational level
Second cycleAcademic level (A-D)
CSubject area
Mathematics
Grade scale
P, F
Course offerings
Spring 14 Vecka 04-22 for single courses students - To application
Periods
Spring 14 P3 (7.5 credits)
Application code
20049
Start date
20/01/2014
End date
2014 week: 22
Language of instruction
English
Campus
-
Number of lectures
Number of exercises
Tutoring time
Evenings
Form of study
IT based distance
Number of places *
5 - 35
*) The Course date may be cancelled if number of admitted are less than minimum of places. If there are more applicants than number of places selection will be made.
Application
Apply for this course at antagning.se through this application link.
Please note that you need to log in at antagning.se to finalize your application.
Spring 13 Vecka 12-21 for single courses students
Periods
Spring 13 P4 (7.5 credits)
Application code
20041
Start date
18/03/2013
End date
2013 week: 21
Language of instruction
English
Campus
-
Number of lectures
Number of exercises
Tutoring time
Evenings
Form of study
IT based distance
Number of places *
5 - 100
*) The Course date may be cancelled if number of admitted are less than minimum of places. If there are more applicants than number of places selection will be made.
Spring 13 for single courses students
Periods
Spring 13 P5 (7.5 credits)
Application code
40020
Start date
03/06/2013
End date
2013 week: 35
Language of instruction
English
Campus
-
Number of lectures
Number of exercises
Tutoring time
Daytime
Form of study
IT based distance
Number of places *
5 - 50
*) The Course date may be cancelled if number of admitted are less than minimum of places. If there are more applicants than number of places selection will be made.
Learning outcomes
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.
Course main content
- 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.
Disposition
Web based course in financial mathematics (mathematical modeling of financial contracts) on a basic level. The course is foremost directed to those wishing to get a general education of financial mathematics, e.g. professionals working with banking and finance but also for those who have a degree in financial economics and wish to broaden their understanding of the mathematical modeling and analysis of these models.
Eligibility
- •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.
Prerequisites
Basic knowledge of probability theory is recommended.
Literature
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.
Required equipment
Computer with Internet connection, web reader handling Flash and Java applets. There is no need of specific installment of a specific programme.
Examination
- TEN1 - Examination, 1.5 credits, grade scale: P, F
- TEN2 - Examination, 1.5 credits, grade scale: P, F
- TEN3 - Examination, 1.5 credits, grade scale: P, F
- TEN4 - Examination, 1.5 credits, grade scale: P, F
- TEN5 - Examination, 1.5 credits, grade scale: P, F
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.
Requirements for final grade
Passed examinations.
Offered by
SCI/Mathematics
Contact
info@rcn.kth.se
Examiner
Version
Course plan valid from:
Autumn 13.
Examination information valid from:
Autumn 07.
