Course for international guest/part time students
- Faculty
- Faculty of Science
- Organization
- TTK Department of Probability Theory and Statistics
- Code
- penzfo2u0um17em
- Title
- Financial processes 2 (l)
- Usual semester
- Autumn
- Published semester
- 2026/27/1
- ECTS
- 3
- Language
- hu
- Learning outcomes
- Knowledge: getting familiar with the modern notions financial processes Ability: to understand and use financial processes Attitude: the need to extend the mathematical knowledge, to gain new analytic and applied programming skills Autonomy and Responsibility: based on the gained knowledge in financial processes, the students are able to decide which tools are the most suitable to solve applied problems
- Course content
- Stocks and bonds in continuous time. Self-financing strategies. Equivalent martingale measure. Real price of options. Black-Scholes formula. Exotic and American options. Option pricing and partial differential equations.
- Assessment method
- exam
- Bibliography
- lecture notes