New Information:


Date for projects: May 19: 13:15---17:00, room 3733


Projects has to be presented by beamer/powerpoint  and in English

A written report has to be turned in for the projects.


Presentation time has to be cut shoreter, 20 min. max, as there

will be no time otherwise.


The presentation will be according to my list, made available tomorrow, at the lecture hall.


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Projects can be chosen from:

  1. Finite element methods in pricing American securities.

  2. Option Strategies,

  3. MORE TO COME


Already chosen projects:

  1. Convertible bonds (Daniel-Oskar)

  2. Interest rate derivatives (Rickard)

  3. Options with transactions costs (Benjamin)

  4. Asian Options (Gilbeto-Alexander)

  5. Lookback options (Bianca-Emeile)

  6. Corridor Variance Swaps (Peter)

  7. Exotic options (Malwina- Marcelina)

  8. Finite Difference methods in pricing American securities (Anders)




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Old Information



Question/study session:

1)  February 24, 13:15-15:00


KTH: Lindstedtsvägen 25, room 3733


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Introductory lecture: Monday 13, January 2014,

13:15--15:00

KTH: Lindstedtsvägen 25, room 3733


A few other lectures will be planned after the first meeting.

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Course Leader:

Henrik Shahgholian  henriksh@math.kth.se


This is a reading course, and there will be no lectures.


Language: English.


Course code: SF2730


Goal: To learn about certain problems in mathematical finance and the PDE approach.  This course is PDE based and will not treat  the Stochastic/Martingale approach.


Topics:

Basic Option Theory:

Option and Markets,  Random Walks, Assets, Payoffs, Strategies, Put-Call parity, Hedging, Volatility, Black-Scholes Equation and its variations, American options.

Mathematical tools:

Partial Differential Equations, Diffusion equations, Initial and boundary conditions, Existence methods, free boundary problems, Obstacle problem.

                                      

Prerequisites:

Diff&Trans SF1629, or equivalent.


Literature:

Wilmott, Paul; Howison, Sam; Dewynne, Jeff:   The mathematics of financial derivatives. A student introduction. Cambridge University Press, Cambridge, 1995. xiv+317 pp. ISBN: 0-521-49699-3


Examination

The examination will consist of two parts.


    * Home work assignments

    * 30 minutes presentation