Mathematical Finance

Basic Information

M123 (2+0+2) - 6 ECTS credits

Differentiating between basic financial instruments and derivatives and understanding the concepts of their valuation within different stochastic models of financial market.

You can access the course content at the following link: PDF

Teachers

Basic literature

  1. A. O. Petters, X. Dong, An Introduction to Mathematical Finance with Applications, Springer, 2016.
  2. A.N. Shiryaev, Essential of Stochastic Finance. World Scientific. 1999.

Additional literature

  1. J. Baz, G. Chacko, Financial Derivatives – Pricing, Applications and Mathematics, Cambridge University Press, 2004.
  2. J. Cvitanić, F. Zapatero, Economics and Mathematics of Financial Markets, The MIT Press, 2004.
  3. M. Capinski, T. Zastawniak, Mathematics for Finance: An Introduction to Financial Engineering, Springer, 2005.
  4. P. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, Springer, 1999.
  5. T. Mikosch, Elementary Stochastic Calculus With Finance in View, World Scientific, 2000.
  6. Z. Vondraček, Financijsko modeliranje, PMF-Matematički odsjek, Sveučilište u Zagrebu, 2018.

Teaching materials

The materials are available on the internal Teams channel of the course, through which all internal communication takes place. Students are required to register on the course’s Teams channel. The channel code for joining the course can be found in the schedule.