FINANCIAL MATHEMATICS I/ FINANSIELL MATEMATIK I (273020, 5 ECTS credit points)

This course in financial mathematics is lectured (in English) at the Department of Mathematics at Åbo Akademi University during period 1, 2012. The lecturer is professor Paavo Salminen.

The course will start on Tuesday 4th of September 2012 at 13.15 in room Hilbertrummet (ASA, Fänriksgatan 3 B, 3rd floor).

For information, please read the course information.

Lecturing hours:

Tue. 13-15, Hilbertrummet
Wed. 10-12, Hilbertrummet
Thu. 13-15, Hilbertrummet

The aim of the course is to give an introduction to the mathematical theory for basic financial derivatives.

Contents: In the first part of the course a presentation of different instruments on financial markets (e.g. interest rates, bonds, stocks, forwards, futures, options) is given. In the second part the mathematical theory of pricing and hedging of European options in the discrete time models is treated. In particular, we analyze the Cox-Ross-Rubinstein binary model in detail and derive, therefrom, the Black-Scholes formula via a limiting procedure.

The lectures are based on the following literature:

Bodie, Z., Kane, A., Marcus, A.J.: Investments (6th ed). McGraw-Hill (2005)
Hull, J.C.: Options, futures and other derivatives (4th edition). Prentice Hall (2000),
Lamberton, D., Lapeyre, B.: Introduction to stochastic calculus applied to finance, 2nd edition. Chapman & Hall (2008),
Panjer, Harry H. (ed): Financial Economics. The Actuarial Foundation (2001),
Ross, Sheldon, M.: Introduction to mathematical finance: options and other topics, 2nd ed, Cambridge University Press (2003).
Wilmott, P., Howison, S., Dewynne, J.: The mathematics of financial derivatives. Cambridge University Press (1996).

Prerequisities: mathematical analysis (second year calculus), probability theory (a second year course).

FINANCIAL MATHEMATICS II/ FINANSIELL MATEMATIK II (273021, 5 ECTS credit points)

This course will be given at the Department of Mathematics at Åbo Akademi University during period 2, 2012.The lecturer is professor Paavo Salminen.

More information will follow later.