120 credits including 40 credits in mathematics. Several Variable Calculus, Several Variable Calculus, Limited Version, Several Variable Calculus M or Geometry and Analysis II. Probability and Statistics or Mathematical statistics KF. Proficiency in English equivalent to the Swedish upper secondary course English 6.
Diffusion processes, stochastic integration and Ito's formula. Arbitrage theory in continuous time. Black-Scholes' equation for pricing financial instruments. Feynman-Kac's representation formula. Risk-neutral valuation and hedging. Complete and incomplete markets. Applications to financial instruments such as options, forwards, futures, swaps, interest rates and currency derivatives.
