Applied Analysis: Financial Mathematics

Vrije Universiteit Amsterdam

Course Description

  • Course Name

    Applied Analysis: Financial Mathematics

  • Host University

    Vrije Universiteit Amsterdam

  • Location

    Amsterdam, The Netherlands

  • Area of Study

    Finance, Mathematics

  • Language Level

    Taught In English

    Hours & Credits

  • ECTS Credits

    6
  • Recommended U.S. Semester Credits
    3
  • Recommended U.S. Quarter Units
    4
  • Overview

    COURSE OBJECTIVE
    The course aims to introduce the student to several aspects of the mathematical theory of option pricing.

    COURSE CONTENT
    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.

    TEACHING METHODS
    Lectures, exercises, discussion of exercises.

    TYPE OF ASSESSMENT
    Homework exercises and final examination

    RECOMMENDED BACKGROUND KNOWLEDGE
    Calculus and Linear Algebra

Course Disclaimer

Courses and course hours of instruction are subject to change.

Some courses may require additional fees.