Master's Programme in Financial Mathematics
Credits: 60 (181-240) ECTS Course coordinator: Ljudmila A. Bordag
Program syllabus Application code: HH-13024
THE FIRST AND ONLY MASTER'S PROGRAM IN FINANCIAL MATHEMATICS IN SWEDEN
Events 2007-2008
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Students 2007-2008
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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.A. Bordag 		Numerical Methods in Finance
J.P. Chancelier, J. Lelong and M. Ehrhardt 		Thesis Project
L.A. Bordag
J.-O. Johansson
K.-J. Bäckström
E. Järpe
  • Detection of changed volatility using continuous time GARCH models
  • Interacting agents model with time dependence implied by supply/demand
  • Non-parametric methods for detecting peaks and troughs in business cycles
M. Ehrhardt
  • Option pricing with Mellin transforms
  • Compact finite difference schemes for option pricing
Optional courses:
Introduction to Financial Mathematics
Background to stochastics, PDE, Numerical and Algebraic Methods
E. Järpe, C. Bandle, T. Vassilieva
Lie Algebras in Application to Differential Equations
K.-J. Bäckström 		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 and A. Novikov
Stochastic Models of Dynamics of Prices
E. Järpe and J.-O. Johansson 		Differential Equations in Financial Mathematics Valuation of Financial Derivatives
L.A. Bordag
Foundations of Financial Markets Structures, Models and Economics of Financial Markets
B. Haraldsson