mathematics financial mathematics mathematical finance master's programme financial mathematics mathematical finance Ljudmila Bordag Albert Shiryaev partial differential equations masters's program random process mathematical statistics mathematics monitoring change-point stockmarket portfolio optimization interacting agents numerical methods Lie algebras pricing foundations financial market examination thesis eligibility requirements

	Master's program in Financial Mathematics
	Credits: 60 (181-240) ECTS	Course coordinator: Ljudmila Bordag
	Program syllabus	Application code: HH-13023

THE FIRST AND ONLY MASTER'S PROGRAM IN FINANCIAL MATHEMATICS IN SWEDEN

Events 2006-2007

Students 2006-2007

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Program overview
Semester 1		Semester 2
Period 1	Period 2	Period 3	Period 4
Geometrical Properties of Differential Equations Applications to Financial Models L. Bordag	Numerical Methods in Finance J.P. Chancelier, B. Lapeyre and A. Sulem		Thesis Project The valuation of portfolios under uncertain volatility Black-Scholes-Barenbalatt equations and static hedging L. Bordag The fair price valuation problem in illiquid markets Controlling of liquidity risk: restrictions on the self-financing strategies due to the impact of transactions L. Bordag The fair price valuation problem in illiquid markets The feedback effects in illiquid markets, hedging strategies of large traders L. Bordag The phenomenon of the implied volatility smile - The problem of option valuation The smile and skewness effects in implied volatilities - different approaches L. Bordag Hedging strategies of a European claim written on a nontraded asset Numerical simulation indifference prices for different derivatives in incomplete markets L. Bordag Hedging strategies of a European claim written on a nontraded asset Improvement of numerical schemes for Musiela and Zariphopoulou model L. Bordag Characterizing the difference between small caps and large caps by using volatility J.-O. Johansson Estimating volatility of large caps index J.-O. Johansson On the volatility estimation of indexes J.-O. Johansson On the use of Quasi-Maximum Likelihood Estimation for Stochastic Volatility models J.-O. Johansson Applications of Lie-algebras for solving differential equations K.-J. Bäckström Markets with interacting agents E. Järpe Monitoring an abrupt change in volatility E. Järpe
	Optional courses: Lie Algebras in Application to Differential Equations K.-J. Bäckström and A.B. Yanovski Mathematical Methods of Portfolio Optimization S. Pickenhain Theory of Pricing in Stochastic Financial Models Arbitrage Theory: Fundamental Theorem, Pricing and Evaluation Methods of Optimal Stopping and Free-boundary Problems in Options of American Type A. Shiryaev, M.L. Nechaev and L. Vostrikova
Stochastic Models of Dynamics of Prices E. Järpe and J.-O. Johansson		Differential Equations in Financial Mathematics Valuation of Financial Derivatives L. Bordag
Foundations of Financial Markets Structures, Models and Economics of Financial Markets B. Haraldsson