Course syllabus
The 23/10 exam with solutions can be found here
"Tentagranskning" on Wednesday 8/11 at 13.30 at MV-expeditionen.
The course Options and Mathematics treats arbitrage free valuation of stock options, and other financial derivatives, using both theoretical and numerical tools. It is intended as a first course in financial mathematics, and requires no prior knowledge of finance.
It is recommended that students who haven't done much math recently freshen up their math skills before the course starts.
More information regarding the purpose and learning goals of the course can be found in the study plan https://www.student.chalmers.se/sp/course?course_id=37296
Responsible for Course:
Carl Lindberg, carl.lindberg@chalmers.se
Important: I answer mail with up to four days delay.
Student representatives
TKIEK daniel.alsen@hotmail.com Daniel AlsénTKIEK jonathan.krantz@outlook.com Jonathan KrantzTKIEK jakob01nilsson@gmail.com Jakob NilssonTKIEK jonte.tennis@hotmail.se Jonathan SvenssonTKIEK arvid.18@hotmail.se Arvid Trogen
News
Literature
Borell, C. Lindberg, C.: Introduction to the Black-Scholes theory
Lindberg, C.: StochasticCalculus.pdf
Program
The schedule for the course is in TimeEdit.
Lectures, tentative
| Week | Kapitel | Content |
|---|---|---|
|
1 |
1 |
Financial derivatives of European and American type, forward contracts, the Dominance Principle, Put-Call Parity, Convexity. |
|
2 |
2
|
The Binomial Model, the multi-period binomial model, arbitrage portfolio, replicating and self-financing strategies. |
|
3 |
3
|
Basic Probability: Event, random variable, Markov's inequality, characteristic function, Gaussian stochastic process, independence, random walk, Law of Large Numbers, Monte Carlo simulation, Central Limit Theorem |
| 4 | 4 |
Brownian Motion, Geometric Brownian Motion, Heat conduction, partial differential equation |
|
5 |
5 |
The Black-Scholes Theory, price of calls and puts, the greeks, path dependent options, implied volatility
|
| 6 | 6 |
Two sources of randomness, Portfolio optimization |
| 7 | 7 |
Stochastic Calculus |
| 8 | Repetition |
EXAMINATION:
Written final examination (4 hours)
Aid not permitted.
The test comprises 15 points (plus the credit from the assignments which is valid for a year) and to pass at least 6 points are required (at GU a result greater than or equal to 11 points is graded VG; at Chalmers a result greater than or equal to 9 points and smaller than 12 points is graded 4 and a result greater than or equal to 12 points is graded 5).
At least 6 points are of theoretic nature and at least 3 of these are chosen from the following list:
Theorem 1.1.2; Theorem 1.1.3; Theorem 1.1.4; Theorem 2.1.1; Theorem 2.2.1; Theorem 3.3.1; Theorem 4.1.1; Theorem 4.2.1; Theorem 4.3.1; Theorem 4.3.2; Theorem 5.1.1; Theorem 5.2.1; Theorem 5.3.1 (only the formula for delta); Theorem 6.1.1.
The dates and times for the exams can be found in the student portal (Links to an external site.).
Applied Project
Practice exams