Applied Analysis: Financial Mathematics
Vrije Universiteit Amsterdam
Amsterdam, The Netherlands
Area of Study
Taught In English
Recommended U.S. Semester Credits3
Recommended U.S. Quarter Units4
Hours & Credits
The course aims to introduce the student to several aspects of the mathematical theory of option pricing.
This course gives an introduction to financial mathematics.
The following subjects will be treated:
- introduction in the theory of options;
- the binomial method;
- introduction to partial differential equations;
- the heat equation;
- the Black-Scholes formula and applications;
- introduction to numerical methods, approximating the price of an (American) option.
Lectures, exercises, discussion of exercises.
TYPE OF ASSESSMENT
Homework exercises and final examination
RECOMMENDED BACKGROUND KNOWLEDGE
Calculus and Linear Algebra
Courses and course hours of instruction are subject to change.
Some courses may require additional fees.