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Financial mathematics

Course Code :2001WETFWI
Study domain:Mathematics
Academic year:2019-2020
Semester:2nd semester
Contact hours:60
Study load (hours):168
Contract restrictions: No contract restriction
Language of instruction:Dutch
Exam period:exam in the 2nd semester
Lecturer(s)Xavier De Scheemaekere

3. Course contents *

This course is an introduction to mathematical fi nance, i.e. to quantitative concepts and models in finance, as well as to financial mathematics, i.e. the mathematics used in
quantitative fi nance and quantitative risk management. We will also discuss how these models are implemented in practice (numerical implementation and calibration). Although the primary
focus of this course is theoretical, it is essential to grasp how these concepts translate into code when used in practice.

The different chapters of the course relate to risk, arbitrage, discrete-time models, Brownian motion, stochastic calculus, PDE approach, risk-neutrality and martingale measures, change of numeraire, local volatility, stochastic volatility and energy derivatives.