Introduction to financial modeling
This course gives an introduction to mathematical finance, with an emphasis on modeling.
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.
The standard two hour lectures. The lectures will be given in Algoritmen (B - Building, between entrance 27 and 29, corridor A).
The course is going to include extensive computer exercises.
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.
The main books to be used during the course are,
 John C. Hull, Options, Futures and other derivatives.
 T. C. Gard, .
Additional references :
 Davis M.H.A., Linear Estimation and Stochastic Control.
 Bernt Øksendal, Stochastic Differential Equations: An Introduction with Applications.
 Paul Wilmott, Paul Wilmott Introduces Quantitative Finance.
 Thomas Björk, Arbitrage Theory in Continuous Time.
Basic knowledge in linear algebra and probability theory. For the computer exercises, a fair skill in coding (e.g., MATLAB) is assumed.
System identification, Sensor fusion. Machine learning
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