Continuous Time Finance

2018/2019

Prerequisite/Recommended prerequisite for participation in the module

The module builds on knowledge obtained by the modules on the 1st semester and in particular Measure Theory and Stochastic Processes.

Content, progress and pedagogy of the module

Learning objectives

Knowledge

  • know about the Black-Scholes model
  • know about risk-neutral pricing
  • know about the martingale representation theorem and the martingale approach to arbitrage theory
  • know about the market price of risk
  • know about options, exotic options, and American derivatives
  • know about hedging
  • know about standard models of the term structure of interest rates

Skills

  • are able to work in-depth in other financial theory topics, e.g., credit risk models or advanced option theory
  • are able to construct a relevant continuous time financial model based on a concrete problem.
  • are able to analyse the models through martingales and arbitrage theory
  • are able to judge the validity of results obtained

Competences

  • are able to communicate results of analysis of continuous time financial models to non-specialists in the financial world 
  • are able to develop the ability to individually develop own continuous time models suited for a given financial problem

Extent and expected workload

Kursusmodulets omfang er 5 ECTS svarende til 150 timers studieindsats.

Exam

Exams

Name of examKontinuert-tids finansiering
Type of exam
Written or oral exam
ECTS5
AssessmentPassed/Not Passed
Type of gradingInternal examination
Criteria of assessmentSom angivet i Fællesbestemmelser for uddannelser (Vurderingskriterier).
http:/​/​www.engineering.aau.dk/​uddannelse/​Studieadministration/​

Facts about the module

Danish titleKontinuert-tids finansiering
Module codeF-MOK-K2-4
Module typeCourse
Duration1 semester
SemesterSpring
ECTS5
Empty-place SchemeYes
Location of the lectureCampus Aalborg
Responsible for the module

Organisation

Study BoardStudy Board of Mathematics, Physics and Nanotechnology
FacultyFaculty of Engineering and Science