 The course consists of a theoretical part and an empirical part. In the theoretical part, students achieve an understanding of the role of financial contracts as instruments of the redistribution of risk, and of the main principles on which the pricing of such contracts is based. After finishing the econometrics part of the course, students will have a basic overview of empirical applications in Finance, both in terms of field of applications as well as in terms of econometric models and techniques used in these applications. Required Prerequisites Calculus, probability and statistics, linear algebra, MatlabRecommended Prerequisites Linear Algebra, Mathematical Analysis 2, Microeconomics for EOR, Introduction Finance and Actuarial Science, Introduction Econometrics, Statistics for Econometrics, Probability and Statistics 
 The theoretical part of the course provides an introduction to mathematical finance. The following topics are covered: portfolio optimization in a singleperiod setting; equilibrium pricing; the notion of arbitrage; option pricing by arbitrage; binomial trees; multiperiod portfolio optimization. In the econometrics part, students will become familiar with econometric models and estimation and testing techniques, such as linear regression in combination with OLS, also in a time series context, and the generalized method of moments (GMM). These topics will be illustrated by finance applications, such as stylized facts on asset returns, predictability of asset returns, the CAPM and its multifactor extensions, and the equity premium puzzle. Participants are expected to have taken introductory courses in mathematical analysis (calculus and optimization under constraints), probability and statistics, and linear algebra. The Matlab programming language is used in exercises and assignments. Type of instructions lectures, tutorials, computer classesType of exams assignments (20%), written exam (80%)
Compulsory Reading J.M. Schumacher, Lecture notes Introduction to Mathematical Finance





Course available for exchange students 
Conditions of admission apply 
Written test opportunities 
Omschrijving/Description  Toets/Test  Blok/Block  Gelegenheid/Opportunity  Datum/Date 

Schriftelijk / Written  EXAM_01  SM 2  2  09072019 

Written test opportunities (HIST) 
Omschrijving/Description  Toets/Test  Blok/Block  Gelegenheid/Opportunity  Datum/Date 

Schriftelijk / Written  EXAM_01  SM 2  1  11062019 

  Required materialsLiteratureJ.M. Schumacher, Lecture notes Introduction to Mathematical Finance 

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