The celebrated Black-Scholes model for describing stock prices and how to price and hedge options is fundamental in financial mathematics. The accompanying Black-Scholes formula also serves as a benchmark for describing risks of assets via the implied volatility.
The Black-Scholes model has some obvious inaccuracies. In this course some of the important weaknesses of the Black-Scholes model is pointed out both what regards statistical properties and theoretical aspects on risks by options.
The focus in this course is financial modeling beyond the Black-Scholes world. Then there is non-uniqueness of option pricing and perfect hedging is impossible. The market is incomplete: there is an inherent risk with option trading. In this course an important point is to handle the incompleteness.
The main approach here is modeling via jump process, in particular Lévy processes.
A fundament of the course is on building and simulating Lévy processes relevant in financial modeling.
Models with stochastic volatility are also included in the course.
Växjö – the student city with a living campus
Just south of Växjö’s city centre you will find Linnaeus University’s campus. In Växjö, many students choose to live on campus.
Here you will have five minutes’ walking distance to friends, restaurants, lecture rooms, gym, grocery store, the University Library, nature trails, and student pubs. If you live in another part of Växjö, you can quickly get to the university by bus or bicycle.
With its 90 000 inhabitants, Växjö is one of the fastest growing cities in Sweden. Here you will find the famous Småland entrepreneurship spirit and a lot of companies, for instance within the IT industry – perfect for when you are looking for an internship position or a job. Växjö is also one of Europe’s greenest cities where you have easy access to nature, forest and lakes.
Build your own degree
Did you know that you can combine single-subject courses to build your own degree? In this way, you can design your own degree based on your interests and the career you are aiming for. This does not apply to all courses so make sure to check with a study counsellor at the faculty. Learn more about how you can build your own degree and become unique on the labour market.