Most of these instrument have an optionlike feature and are called derivative securities. In this course we discuss the latest developments in the theory of derivative securities concerning pricing, hedging and risk management. Furthermore, we introduce the basic results in option pricing, which is based on the theory of stochastic processes. Copies of the overhead sheets, used during the course, are here. available.
Exam is individual, other work in groups of three.
First four weeks also the course on Markov processes has to be followed. A sound knowledge of Basic Mathematics.