This course covers the basic mathematical theory of modeling and pricing financial instruments in continuous time. We focus on the modeling of stock prices and pricing of stock options in the Black Scholes model, which is based on geometric Brownian motion. The course also includes interest rate theory and the pricing of various fixed income instruments.
Application and eligibility
Financial Mathematics, 7.5 hp
Spring Term 2018
Lectures begin on week starting 19 March 2018
Lectures end during the week of 23 April 2018
English (upon request)
Type of studies
The course requires 90 ECTS including a course in Multivariable Calculus and Differential Equations and a basic course in Mathematical Statistics, minimum 6 ECTS. Proficiency in English equivalent to Swedish upper secondary course English 5/A. Where the language of instruction is Swedish, applicants must prove proficiency in Swedish to the level required for basic eligibility for higher studies.
Applicants in some programs at Umeå University have guaranteed admission to this course. The number of places for a single course may therefore be limited.
Application deadline was
16 October 2017.
Please note: This second application round is intended only for EU/EEA/Swiss citizens.