6 ECTS credits
150 h study time
Offer 1 with catalog number 4015707FNR for all students in the 2nd semester of even academic years (e.g. 2012-2013)
at
a (F) Master - specialised level.
- Semester
- biennial: 2nd semester of an even academic year (e.g. 2012-2013)
- Enrollment based on exam contract
- Impossible
- Grading method
- Grading (scale from 0 to 20)
- Can retake in second session
- Yes
- Enrollment Requirements
- Students must have followed ‘Stochastic Processes’ , before they can enroll for ‘Financial modelling’.
- Taught in
- Dutch
- Faculty
- Faculty of Sciences and Bioengineering Sciences
- Department
- Mathematics
- Educational team
- Tetyana Kadankova
(course titular)
- Activities and contact hours
- 30 contact hours Lecture
30 contact hours Seminar, Exercises or Practicals
- Course Content
The objective of this course is to explore how Levy processes are applied in modelling of financial assets and credit risks. We first start with the overview of the classical Black Scholes model and then consider more general models. These are the so called exponential Levy models and Stochastic volatility models. In addition we will consider pricing of barrier options and other path dependent options. As time permits, some of the following topics will be considered: Modelling of financial assets by a Variance Gamma process, pricing of exotic options, Credit risk modelling (Credit derivatives, Credit default swaps), term structure models, interest rate models.
- Course material
- Digital course material (Required) : Artikels en slides, Leerplatform
Handbook (Recommended) : Levy processes in Finance, Pricing financial derivatives, W. Schoutens, Wiley, 9780470851562, 2003
Practical course material (Recommended) : Stochastic Calculus and Finance, Steven Shreve, 1997
Handbook (Recommended) : Term structure models, Damir Filipovic, Springer, 9783642269158, 2012
Handbook (Recommended) : Interest rate models, Theory and practice : with smile, inflation, and credit., Damiano Brigo, Fabio Mercurio, 2de, Springer, 9783662517437, 2016
Handbook (Recommended) : Stochastic processes for insurance and finance, Rolski, Schmidt, Schmidli, Teugels, Wiley, 9780470743638, 2008
Handbook (Recommended) : Levy processes in credit risk, W. Schoutens, J. Cariboni, Wiley, 9780470743065, 2009
- Additional info
none
- Learning Outcomes
-
General competences
-The student knows important topics from the theory of Levy processes with applications in actuarial and financial mathematics.
- The student can work with articles and present a scientific topic for the audience.
- the student is able to start a master these within this research area.
- Grading
-
The final grade is composed based on the following categories:
Written Exam determines 30% of the final mark.
SELF Report determines 70% of the final mark.
Within the Written Exam category, the following assignments need to be completed:
- examen mondeling
with a relative weight of 1
which comprises 30% of the final mark.
Within the SELF Report category, the following assignments need to be completed:
- examen schriftelijk
with a relative weight of 1
which comprises 70% of the final mark.
Note: plus de presentatie op basis van verslag
- Additional info regarding evaluation
none
- Allowed unsatisfactory mark
- The supplementary Teaching and Examination Regulations of your faculty stipulate whether an allowed unsatisfactory mark for this programme unit is permitted.
Academic context
This offer is part of the following study plans:
Master of Mathematics: Financial and Applied Mathematics (only offered in Dutch)