FINANCIAL MATHEMATICS
| Title | ΣΤΟΧΑΣΤΙΚΑ ΧΡΗΜΑΤΟΟΙΚΟΝΟΜΙΚΑ / FINANCIAL MATHEMATICS |
| Code | ΣΜΥ019 |
| Faculty | Sciences |
| School | Mathematics |
| Cycle / Level | 2nd / Postgraduate |
| Teaching Period | Winter/Spring |
| Coordinator | Alexandra Papadopoulou |
| Common | No |
| Status | Active |
| Course ID | 600025955 |
Programme of Study: PMS Tmīmatos Mathīmatikṓn Merikīs Foítīsīs (2025-2030)
Registered students: 0
| Orientation | Attendance Type | Semester | Year | ECTS |
|---|---|---|---|---|
| STATISTIKĪ, MONTELOPOIĪSĪ KAI YPOLOGISTIKES METHODOI | Elective Courses belonging to the selected specialization | Spring | - | 10 |
Programme of Study: PMS Tmīmatos Mathīmatikṓn (2025-2030)
Registered students: 0
| Orientation | Attendance Type | Semester | Year | ECTS |
|---|---|---|---|---|
| STATISTIKĪ, MONTELOPOIĪSĪ KAI YPOLOGISTIKES METHODOI | Elective Courses belonging to the selected specialization | Spring | - | 10 |
| Academic Year | 2025 – 2026 |
| Class Period | Spring |
| Faculty Instructors | |
| Weekly Hours | 3 |
| Total Hours | 39 |
| Class ID | 600268437
|
Course Type 2021
Specialization / Direction
Mode of Delivery
- Face to face
- Distance learning
Digital Course Content
- e-Study Guide https://qa.auth.gr/en/class/1/600268437
Erasmus
The course is also offered to exchange programme students.
Language of Instruction
- Greek (Instruction, Examination)
Prerequisites
General Prerequisites
Basic knowledge of Probability Theory.
Learning Outcomes
Upon successful completion of the course, students will:
1. know the basic principles of financial mathematics.
2. be able to analyze specialised stochastic models with application to finance.
3. be able to solve stochastic problems using theoretical tools.
4. practice in financial modeling.
General Competences
- Retrieve, analyse and synthesise data and information, with the use of necessary technologies
- Adapt to new situations
- Make decisions
- Work autonomously
- Work in teams
- Generate new research ideas
- Be critical and self-critical
- Advance free, creative and causative thinking
Course Content (Syllabus)
Review of basic financial notions and indices. Wiener processes, Stochastic integration, Stochastic Differential Equations, Brownian motion, the Black-Scholes model.
Keywords
Financial mathematics, Stochastic Calculus
Educational Material Types
- Notes
- Slide presentations
- Multimedia
- Book
Use of Information and Communication Technologies
Use of ICT
- Use of ICT in Course Teaching
- Use of ICT in Communication with Students
- Use of ICT in Student Assessment
Description
Use of the R programming language, online exercise hours.
Course Organization
| Activities | Workload | ECTS | Individual | Teamwork | Erasmus |
|---|---|---|---|---|---|
| Lectures | 39 | ||||
| Reading Assigment | 183 | ||||
| Tutorial | 13 | ||||
| Project | 20 | ||||
| Written assigments | 40 | ||||
| Exams | 5 | ||||
| Total | 300 |
Student Assessment
Description
The final grade for this course will be calculated as follows:
1. Midterm: 40%
2. Final exam: 60%.
Student Assessment methods
- Written Exam with Short Answer Questions (Formative, Summative)
- Written Exam with Extended Answer Questions (Formative, Summative)
- Written Assignment (Formative, Summative)
- Performance / Staging (Formative, Summative)
Bibliography
Course Bibliography (Eudoxus)
Στοχαστικά Χρηματοοικονομικά, Π.-Χ. Βασιλείου, Ζήτη, 2001.
Στοχαστικές Διαφορικές Εξισώσεις με Εφαρμογές στα Χρηματοοικονομικά, Σπηλιώτης Ι., 2004
Additional bibliography for study
S.E. Shreeve, "Stochastic Calculus for Finance", Springer 2004.
Last Update
11-05-2025
