Financial Mathematics

Owner	Bachelor Wiskunde
Coordinator	dr. Robin de Vilder
Part of	Exchange Programme Faculty of Science, specialisation BSc Mathematics, year 1Minor Mathematical Themes, year 1Bachelor Wiskunde, year 3Dubbele bachelor Wis- en Natuurkunde, year 3

Course manual 2022/2023

Course content

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.

Study materials

Literature

• J.Hull, 'Options, Futures, and Other Derivatives'

• Etheridge, 'A Course in Financial Calculus'

Software

• Matlab (or alternatives)

Objectives

• The student understands at the end of the course the working of financial markets from a technical view point
• The student understands the working of basic models to value options and other derivatives in detail (i.e. Cox, Ross and Rubenstein and Black and Scholes)
• The student understands the role of arbitrage in financial processes
• The student understands Ito's lemma
• The student understands Call and put options as well as the Greeks
• The student understands the role of stochastics in financial processes
• The student understands basic risk models and popular time-series models
• The student knows what volatility means in a detailed fashion

Teaching methods

• Hoorcollege
• Werkcollege
• Computer lab session/practical training
• Lecture
• Seminar

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.

Learning activities

Attendance

Programme's requirements concerning attendance (OER-B):

• Each student is expected to actively participate in the course for which he/she is registered.
• If a student can not be present due to personal circumstances with a compulsory part of the programme, he / she must report this as quickly as possible in writing to the relevant lecturer and study advisor.
• It is not allowed to miss obligatory parts of the programme's component if there is no case of circumstances beyond one's control.
• In case of participating qualitatively or quantitatively insufficiently, the examiner can expel a student from further participation in the programme's component or a part of that component. Conditions for sufficient participation are stated in advance in the course manual and on Canvas.
• In the first and second year, a student should be present in at least 80% of the seminars and tutor groups. Moreover, participation to midterm tests and obligatory homework is required. If the student does not comply with these obligations, the student is expelled from the resit of this course. In case of personal circumstances, as described in OER-A Article A-6.4, an other arrangement will be proposed in consultation with the study advisor.

Assessment

Item and weight	Details
Final grade
35% Huiswerk
65% Tentamen

Inspection of assessed work

Contact the course coordinator to make an appointment for inspection.

Assignments

Weekly homework.

Fraud and plagiarism

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

Course structure

Timetable

The schedule for this course is published on DataNose.

Additional information

Recommended prerequisites: Measure Theory.

Processed student feedback

Below you will find the adjustments in the course design in response to the course evaluations.

Contact information

Coordinator

• dr. Robin de Vilder

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)