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Teaching GuideTerm Faculty of Computer Science |
| Mestrado Universitario en Matemática Industrial (2013) |
 Subjects |
| Mathematical modeling in finance |
| Learning aims |
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| Identifying Data | 2019/20 | |||||||||||||
| Subject | Mathematical modeling in finance | Code | 614855211 | |||||||||||
| Study programme |
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| Descriptors | Cycle | Period | Year | Type | Credits | |||||||||
| Official Master's Degree | 2nd four-month period |
First | Optional | 6 | ||||||||||
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| Learning outcomes | Study programme competences | ||
| Knowledge of the management of the most popular financial products, specially options and bonds | AC1 AC2 AC5 AC6 AC7 |
BJ1 BC3 BR1 |
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| Knowledge and application of the usual techniques of stochastic calculus to solve the pricing problems | AC2 AC6 AC7 |
BJ1 BR1 |
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| Knowledge of the dynamic hedging methodology to pose Black-Scholes mathematical models | AC2 AC3 AC7 |
BJ1 BC1 BR1 |
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| For a given financial derivative, ability to pose the most suitable Black-Scholes pricing model | AC1 AC2 AC4 AC7 |
BC1 BC2 BC3 BR1 |
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| Knowledge of the most suitable numerical methods to solve the Balck-Scholes models for the different financial products, either with one or two stochastic factors. | AC4 AC5 AC8 |
BC1 BC2 BC3 BR1 |
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| Knowledge about models of financial risk and the associated computations | AC1 AC2 AC5 AC6 AC7 |
BJ1 BC1 BC2 BC3 BR1 |
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