Mathematical Statistics: Valuation of Derivative Assets

Education facts

Code: MASM34

<p>What is a reasonable value for a derivative on the financial market?</p><p>The course consists of two related parts. In the first part we will look at option theory in discrete time. The purpose is to quickly introduce fundamental concepts of financial markets such as free of arbitrage and completeness as well as martingales and martingale measures. We will use tree structures to model time dynamics of stock prices and information flows.</p> <p>In the second part we will study models formulated in continuous time. The models we focus on are formulated as stochastic differential equations (SDE:s). The theories behind Brownian motion, stochastic integrals, Ito-'s formula, measures changes and numeraires are presented and applied to option theory both for the stock and the interest rate markets. We derive e.g. the Black-Scholes formula and how to create a replicating portfolio for a derivative contract.</p>

Entry requirements

For admission to the course knowledge equivalent to the courses MASA02, Mathematical Statistics: Basic Course, 15 credits and at least one MASC03, Markov processes, 7.5 credits or MASC14 Stationary stochastic processes 7.5 credits are required together with English B.

Education offerings

Each offering has its own dates and conditions. Closed offerings are retained as history and do not mean that a new application is open.

• Mathematical Statistics: Valuation of Derivative Assets

  Lund University

  Start date: 31 August 2026

  End date: 1 November 2026

  Pace of study: 50 %