SF2701 Financial Mathematics, Basic Course 7.5 credits

Finansiell matematik, grundkurs

Basic course on Financial Mathematics.

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Offering and execution

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Course information

Content and learning outcomes

Course contents *

  • Interest Theory: yield, present value, duration, term structure.
  • Arbitrage pricing: risk neutral pricing, martingale pricing.
  • Financial derivatives: forwards, futures, swaps, options; Black-Sholes-Mertons formula. Hedging. Interest rate models and interest rate derivatives.

Intended learning outcomes *

This course is aimed at those wants to achieve a general education in financial mathematics. It is also suitable as a preparation for the course SF2975 Financial Derivatives.

Course Disposition

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Literature and preparations

Specific prerequisites *

Linear Algebra 5B1108 (or 5B1109), Calculus 5B1102 (or 5B1103), Probability Theory and Statistics 5B1501 (or Mathematical Statistics, Basic Course 5B1504/5B1506).

Recommended prerequisites

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Equipment

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Literature

To be announced at course start. Last time the following book was used:
J. Hull: Options, Futures and Other Derivatives, 4:th ed.

Examination and completion

Grading scale *

A, B, C, D, E, FX, F

Examination *

  • TEN1 - Examination, 7.5 credits, Grading scale: A, B, C, D, E, FX, 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.

Opportunity to complete the requirements via supplementary examination

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Opportunity to raise an approved grade via renewed examination

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Examiner

Sigrid Källblad Nordin

Further information

Course web

Further information about the course can be found on the Course web at the link below. Information on the Course web will later be moved to this site.

Course web SF2701

Offered by

SCI/Mathematics

Main field of study *

Mathematics

Education cycle *

Second cycle

Add-on studies

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Contact

Sigrid Källblad Nordin (sigridkn@kth.se)

Ethical approach *

  • 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.