KTH Mathematics  

Mathematical Statistics

This course is aimed at those who want an introduction to arbitrage pricing.

Linear Algebra SF1624 (or SF1604), Calculus SF1625 (or SF1602), Probability Theory and Statistics SF1901 or equivalent courses.


There will be a written exam on Monday June 5, 2017, 8.00-13.00. Registration for the written examination is required. Registration for the course, the written exam and all other administrative matters are handled by the the student affairs office . Grades are set according to the quality of the written exam. Grades are given in the range A-F, where A is the best and F means failed, and Fx. Fx means that you have the right to a complementary examination (to reach the grade E). The criteria for Fx is a grade F on the exam, and that an isolated part of the course can be identified where you have shown a particular lack of knowledge and that the examination after a complementary examination on this part can be given the grade E.
One additional written exam will be given (in August), the date will be announced later.

Administrative matters:
All administrartive matters such as registration for the course, registration for the exam and so on are handled by the student affairs office, which can be reached via the following links

There will be two homework assignments. Note that solving the homework assignments is NOT a requirement for passing the course. Correctly solved homework assignments handed in on time will result in that you will not have to solve parts of, or the whole of, the first exercise on the exam in June and the next exam, but after that you either have to re-do the homework or solve all exercises at the exam.

Course literature:
J. Hull: Fundamentals of Futures and Options Markets, 8:th ed.
Available from "Kårbokhandeln".
J. Hull: Options, Futures, and Other Derivatives
Available from "Kårbokhandeln".

Preliminary plan (CL=Camilla Landen)

Day Date Time Place Topic Chapter Lecturer
Mon 20/3 10-12 M1
1, 12.1, 12.2 CL
Thu 23/3 08-10 F2
Conditional expectation
- CL
Fri 24/3 10-12 D1
- CL
Mon 27/3 10-12 E1
Binomial model
12, 18.1 (20.1) CL
Thu 30/3 08-10 E1
General one period model
- CL
Fri 31/3 10-12 E1
10.5 CL
Mon 4/3 10-12 F2
18.3 (20.3) CL
Thu 6/4 08-10 M1
Forwards and Futures
2, 5 CL
Fri 7/4 10-12 M1
- CL
Wed 19/4 10-12 M1
Black-Scholes model
13 (14), 10, 11 CL
Thu 20/4 08-10 M1
Black-Scholes model
15, 16 (16, 17) CL
Fri 21/4 10-12 M1
- CL
Mon 24/4 10-12 D1
Black-Scholes model
17, 18.2 (18, 20.2) CL
Thu 27/4 08-10 D1
Interest rates and bonds
4 CL
Fri 28/4 10-12 F2
- CL
Wed 3/5 08-10 D1
Interest rates and bonds
6 CL
Thu 4/5 10-12 M1
Interest rate derivatives
4 CL
Fri 5/5 08-10 M1
- CL
Mon 8/5 10-12 E1
Interest rate derivatives
7 CL
Thu 11/5 08-10 F2
Currency swaps
7.12 CL
Fri 12/5 10-12 F2
- CL
Mon 15/5 10-12 M1
Loose ends and summary
- CL
Thu 18/5 08-10 E1
- CL
Fri 19/5 10-12 M1
- CL

Chapter refers to chapters in "Fundamentals of Futures and Options Markets" and "Options, Futures and Other Derivatives" by John C. Hull. Whenever the chapter references differ the chapters in "Options, Futures and Other Derivatives" are in parenthesis.

Welcome, I hope you will enjoy the course!


To course web page

Published by: Camilla Landen
Updated: 16/3-2017