# Introduction to financial modeling

## Autumn 2012

### General Information

This course gives an introduction to mathematical finance, with an emphasis on modeling.

## Contents

## Organization and Examination

This course gives 9 hp.
The proposed course consists of lectures and related computer exercises.
There is no written exam for the course and instead the students are supposed
to submit their solutions to the exercises in the form of reports.

## Lectures

The standard two hour lectures. The lectures will be given in Algoritmen (B - Building, between entrance 27 and 29, corridor A).

## Computer Exercises

The course is going to include extensive computer exercises.

## Project (optional)

One can receive an additional 3 hp by carrying out a project, which can take place after the course is finished. More information will be given during the course.

## Course Literature

The main books to be used during the course are,

**[1]** John
C. Hull, Options, Futures and
other derivatives.

**[2]** T. C. Gard,
Introduction
to Stochastic Differential Equations.

Additional references :

**[3] **Davis M.H.A., Linear Estimation and
Stochastic Control.

**[4] **Bernt Øksendal, Stochastic Differential Equations: An Introduction with Applications.

**[5] **Paul Wilmott, Paul Wilmott Introduces
Quantitative Finance.** **

**[6]****
**Thomas Björk, Arbitrage Theory in
Continuous Time.

** **

## Prerequisites

Basic knowledge in linear
algebra and probability theory. For the computer
exercises, a fair skill in coding (e.g., MATLAB) is assumed.

## Related Courses

System
identification, Sensor fusion. Machine
learning

## Contact Persons

Dr. Jesica Escobar, tel 013 - 284027, email: escobar_at_isy.liu.se

Dr. Saikat Saha, tel 013 - 284027, email: saha_at_isy.liu.se.

Informationsansvarig: Escobar J. and Saha S.

Senast uppdaterad: 2012-12-07