Course Code : | 2001WETFWI |

Study domain: | Mathematics |

Academic year: | 2019-2020 |

Semester: | 2nd semester |

Contact hours: | 60 |

Credits: | 6 |

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 |

At the start of this course the student should have acquired the following competences:

an active knowledge of

general notion of the basic concepts of

specific prerequisites for this course

an active knowledge of

- Dutch
- English

- general knowledge of the use of a PC and the Internet

general notion of the basic concepts of

The use of a pc is necessary for this course. Also the knowledge of some programming language is essential for the pesonal work of the student.

specific prerequisites for this course

Familiarity with the basic concepts of Probability Theory and Statistics is recommended to attend to the course.

- Basic knowledge of derivative instruments
- All the proofs are known

This course is an introduction to mathematical finance, i.e. to quantitative concepts and models in finance, as well as to financial mathematics, i.e. the mathematics used in

quantitative finance 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.

Class contact teachingLectures

Personal workAssignments Individually

Personal work

ExaminationWritten examination without oral presentation Closed book Open-question

Written assignmentWithout oral presentation

Project

Written assignment

Project

Slides on Blackboard and proofs given during the course.

xdeschee@hotmail.com