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Course Description
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Course Name
Applied Analysis: Financial Mathematics
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Host University
Vrije Universiteit Amsterdam
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Location
Amsterdam, The Netherlands
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Area of Study
Finance, Mathematics
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Language Level
Taught In English
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ECTS Credits
6 -
Recommended U.S. Semester Credits3
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Recommended U.S. Quarter Units4
Hours & Credits
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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 examinationRECOMMENDED BACKGROUND KNOWLEDGE
Calculus and Linear Algebra
Course Disclaimer
Courses and course hours of instruction are subject to change.
Some courses may require additional fees.