Introduction to Mathematical Finance

Part I: The binomial model for stock prices; the no-arbitrage method for derivatives' pricing. American options.

Part II: Random walk and Brownian motion, Ito-Doeblin formula, Black-Scholes-Merton equation.

Two tests: one half way (Part I) and one at the end of the course (Part II).

The final grade of the course is

0.7*M + 0.3*F,

where M stays for midterm and F is for final. Both exams are mandatory with minimal passing grade 5.0.

Test and result scale: written exam, grade numerical, rounded to halves.

In case of insufficient a repair option may exist in accordance with Article 2, Examination requirements, Clause 4, of the Implementation Regulations 2023-2024.