Financial Mathematics

The aim of the course is to introduce the students to the probabilistic study of the classical theory of mathematical finance.

The first part of the course is centered around stochastic calculus. In this first part, we introduce a detailed theory of stochastic integration that will be the basis for the second part of the course (which will be more financial and rely on the mathematical theory as studied on the first part).

In the second part of the course, we will then cover arbitrage theory, perfect markets, risk-neutral pricing of options and other derivatives, Black-Scholes-Merton model, models for exchange rates and interest rates.

For each topic and model we will stress its points of strength, but also its points of weakness.

The final grade of the course consists of the following components:

- Written or oral exam (100%).

The type of examination (written or oral) will be determined based on the number of students.

In case of an insufficient result, repair opportunities may be offered in accordance with TER Implementation Regulations Art 5, sub 5

Written or oral exam: written or oral resit

Disclaimer: information may change depending on unforeseen circumstances or measures (see: TER Art 29, sub 4).