Introduction to financial modeling; Linköpings universitet

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Introduction to financial modeling

All lectures will be taking place in Algoritmen (A) between 15:15 and 17:00.

Nr. Date Place Contents Slides
1 29/10 A Information about the course and introduction to financial markets, basics of equities,
commodities, foreign-exchanges, forward and futures.
2 01/11 A Options, payoff diagram, put-call parity, option strategies. pdf
3 08/11
A Poisson process and Brownian motion, introduction to stochastic differential equations,
Ito calculus, Wiener, Orstein -Uhlenbeck, Langevin equation, introduction to martingales.
4 12/11
A Risk neutral pricing, Fynman-Kac formula. pdf
5 19/11 A Black-Scholes model and the Greek letters. pdf
6 22/11 A Volatility problem,implied volatility, smile dynamic, leverage effect, heteroskedasticity,
introduction to Garch and stochastic volatility models.
7 26/11 A Inference Problems. ( No lecture on 26/11. Please see News for details.) reading materials
8 29/11 A System identification in finance, parametric, semi/non parametric, maximum likelihood, EM. pdf
9 03/12 A Cointegration methods and course summary. pdf

Informationsansvarig: Escobar J. and Saha S.
Senast uppdaterad: 2012-12-07