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Mathematical Statistics: Valuation of Derivative Assets

Course · 7.5 credits

On this page

Description

What is a reasonable value for a derivative on the financial market?

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.

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.

Course documents

Syllabus (PDF - new window)

Contact

Mathematical Statistics

Visiting address
Sölvegatan 18A, 223 62 Lund

Postal address
Box 118, 221 00 Lund

+46 46 222 85 50

http://www.maths.lu.se/english/divisions/mathematical-statistics/

Requirements and selection

Entry requirements

MASC03 Markovprocesses or MASC04 Stationary Stochastic Processes or equivalent. English 6/English Course B.

Selection criteria

Seats are allocated according to: ECTS (HPAV): 100 %.

English language requirements

Most of Lund University’s programmes require English Level 6 (unless otherwise stated under 'Entry requirements'). This is the equivalent of an overall IELTS score of 6.5 or a TOEFL score of 90. There are several ways to prove your English language proficiency – check which proof is accepted at the University Admissions in Sweden website. All students must prove they meet English language requirements by the deadline, in order to be considered for admission.

How to prove your English proficiency – universityadmissions.se

Country-specific requirements

Check if there are any country-specific eligibility rules for you to study Master's studies or Bachelor's studies in Sweden.

Country-specific requirements for Bachelor's studies – universityadmissions.se

Country-specific requirements for Master's studies – universityadmissions.se

Apply

Start Autumn Semester 2022

Day-time Lund, part time 50%

In English

Study period

29 August 2022 - 30 October 2022

Application

Late applications are being accepted

How to apply

Lund University uses a national application system run by University Admissions in Sweden. It is only possible to apply during the application periods.

When to apply for studies

Step 1: Apply online

• Check that you meet the entry requirements of the programme or course you are interested in (refer to the section above on this webpage).
• Start your application – go to the University Admissions in Sweden website where you create an account and select programmes/courses during the application period.
Visit the University Admissions in Sweden website
• Rank your programme/course choices in order of preference and submit them before the application deadline.

Step 2: Submit documents

• Read about how to document your eligibility and how to submit your documents at the University Admissions in Sweden website. Follow any country-specific document rules for Master's studies or Bachelor's studies
Country-specific requirements for Bachelor's studies – universityadmissions.se
Country-specific requirements for Master's studies – universityadmissions.se

• Get all your documents ready:
- official transcripts and high school diploma (Bachelor's applicants)
- official transcripts and degree certificate or proof of expected graduation (Master's applicants)
- passport/ID (all applicants) and
- proof of English proficiency (all applicants).

• Prepare programme-specific documents if stated in the next paragraph on this webpage.
• Upload or send all required documents to University Admissions before the document deadline.
• Pay the application fee (if applicable – refer to the section below on this webpage) before the document deadline.

* Note that the process is different if you are applying as an exchange student or as a part of a cooperation programme (such as Erasmus+).
* If you have studied your entire Bachelor's programme in Sweden and all of your academic credits are in Ladok, you do not have to submit transcripts or your diploma when applying for a Master's programme. However, there may still be other documents you need to submit! See the link below.

Tuition fees

Non-EU/EEA citizens

Full programme/course tuition fee: SEK 18 125

First payment: SEK 18 125

Convert currency – xe.com

Citizens of a country outside of the European Union (EU), the European Economic Area (EEA) and Switzerland are required to pay tuition fees. You pay one instalment of the tuition fee in advance of each semester.

Tuition fees, payments and exemptions

EU/EEA citizens and Switzerland

There are no tuition fees for citizens of the European Union (EU), the European Economic Area (EEA) and Switzerland.

Application fee

If you are required to pay tuition fees, you are generally also required to pay an application fee of SEK 900 (approximately EUR 100) when you apply at the University Admissions in Sweden website. You pay one application fee regardless of how many programmes or courses you apply to.

Paying your application fee – universityadmissions.se

Exemptions from paying the application fee – universityadmissions.se

*Note that there are no tuition or application fees for exchange students or PhD students, regardless of their nationality.

Scholarships & funding

Lund University Global Scholarship programme

The Lund University Global Scholarship programme is a merit-based and selective scholarship targeted at top academic students from countries outside the EU/EEA.

Lund University Global Scholarship

Swedish Institute Scholarships

The Swedish Institute offers scholarships to international students applying for studies in Sweden at Bachelor's, Master's, PhD and post-doctoral levels.

Scholarship options at the Swedish Institute website

Country-specific scholarships and funding options

Lund University has agreements with scholarship organisations and funding bodies in different countries, which may allow applicants to apply for funding or scholarships in their home countries for their studies at Lund University.

External scholarships

Information about scholarships from external organisations