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.
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.
The online application opens 17 September 2018 at 13:00 CET.
Application deadline is
15 October 2018.
Application and Tuition fees
As a citizen of a country outside the European Union (EU), the European Economic Area (EEA) or Switzerland, you are required to pay application and tuition fees for studies at Umeå University.