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SF2975 Financial Derivatives 7.5 credits

Administer About course

The overall purpose of the course is that the student should be well acquainted with basic arbitrage theory and the concepts of arbitrage and completeness. The student should be able to critically analyse financial models, for example stock market models and interest rate models.

Information per course offering

Termin

Information for Autumn 2025 Start 25 Aug 2025 programme students

Course location

KTH Campus

Duration
25 Aug 2025 - 24 Oct 2025
Periods
P1 (7.5 hp)
Pace of study

50%

Application code

51850

Form of study

Normal Daytime

Language of instruction

English

Course memo
Course memo is not published
Number of places

Places are not limited

Target group

Available for all master program students as long as it can be included in your programme.

Planned modular schedule
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Schedule
Schedule is not published

Contact

Examiner
No information inserted
Course coordinator
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Teachers
No information inserted

Course syllabus as PDF

Please note: all information from the Course syllabus is available on this page in an accessible format.

Course syllabus SF2975 (Spring 2022–)
Headings with content from the Course syllabus SF2975 (Spring 2022–) are denoted with an asterisk ( )

Content and learning outcomes

Course contents

Mathematical finance and pricing of financial derivatives using martingale theory with particular focus on models in continuous time. The main focus of the course lies on the following topics:

  • Martingale measures and their usage for pricing of financial derivatives including the underlying theory.
  • Financial Derivatives such as Options, Forwards, and Futures; study of their properties and pricing of them.
  • Black Scholes model and its extensions.
  • Analysis of various interest rate models (such as forward rate, swap rate, and LIBOR models) and application of them for pricing.
  • Change of numeraires and the application of it as a method for derivatives pricing.

Intended learning outcomes

After completion of the course the student shall be able to:

  • formulate and motivate central concepts and results within mathematical finance and describe and argue for relations between them.
  • apply central concepts, methods and results within mathematical finance to model and analyse financial market models and to price financial derivatives.
  • analyse financial markets from different stability perspectives.

Literature and preparations

Specific prerequisites

  • English B / English 6
  • Completed advanced course in Probability theory(SF2940 or equivalent)

Recommended prerequisites

  • Completed basic course in Financial Mathematics (SF2701 or similar)
  • Completed advanced course in Martingales and Stochastic Integrals (SF2971 or equivalent).

Literature

You can find information about course literature either in the course memo for the course offering or in the course room in Canvas.

Examination and completion

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

Grading scale

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

Examination

  • OVN1 - Assignments, 3.0 credits, grading scale: P, F
  • TEN1 - Examination, 4.5 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.

Examiner

Profile picture Nacira Agram

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.

Further information

Course room in Canvas

Registered students find further information about the implementation of the course in the course room in Canvas. A link to the course room can be found under the tab Studies in the Personal menu at the start of the course.

Offered by

SCI/Mathematics

Main field of study

Industrial Management, Mathematics

Education cycle

Second cycle