6 EC
Semester 2, period 4, 5
5122FIWI6Y
We will obtain insight into the mathematical structure of financial products such as futures, options and other derivatives. We will both deal with the discrete (Cox, Ross and Rubenstein) and continuous models (Black and Scholes). We will also treat time series models. Attention will be given to the role of volatility in financial processes. In an extended case study both option theory and times series analysis will be studied throughout the course. The course is both theoretical and practical and aims to give a broad view of the field of financial mathematics.
J.Hull, 'Options, Futures, and Other Derivatives'
Etheridge, 'A Course in Financial Calculus'
Matlab (or alternatives)
The theory is explained at the plenary sessions. Here the structure of the theory is revealed and it is shown what the underlying ideas are. During the practical classes the assignments will be discussed and students will be helped with completing their homework.
Activiteit | Aantal uur |
Hoorcollege | 30 |
Tentamen | 3 |
Werkcollege | 22 |
Zelfstudie | 113 |
Programme's requirements concerning attendance (OER-B):
Item and weight | Details |
Final grade | |
35% Huiswerk | |
65% Tentamen |
Contact the course coordinator to make an appointment for inspection.
Weekly homework.
The 'Regulations governing fraud and plagiarism for UvA students' applies to this course. This will be monitored carefully. Upon suspicion of fraud or plagiarism the Examinations Board of the programme will be informed. For the 'Regulations governing fraud and plagiarism for UvA students' see: www.student.uva.nl
Weeknummer | Onderwerpen | Studiestof |
1 | Introduction | JH, chapter 1,2 |
2 | Hedging, Futures | JH, chapter 3,4,5 |
3 | Options | JH, chapters 9,10,11 |
4 | Single Period Models | AE chapter 1 |
5 | Discrete Parameter Martingales | AE chapter 2 |
6 | Discrete Parameter Martingales | AE chapter 2 |
7 | Brownian Motion | AE chapter 3 |
8 | Midterm Test | |
9 | Brownian Motion | AE chapter 3 |
10 | Grieken | JH, chapter 18 |
11 | Volatiliteit | JH, chapter 19 |
12 | Pair Trading | |
13 | Pair Trading | |
14 | Pair Trading | |
The schedule for this course is published on DataNose.
Recommended prerequisites: Measure Theory.
lecture: dr. Robin de Vilder (r.g.devilder@uva.nl)
seminar: Victor Harmsen (victor.harmsen@deepbluecap.com)
handing in homework: Mike Derksen (mike.derksen@deepbluecap.com)