General information 
Course unit name: Quantitative Finance
Course unit code: 568193
Academic year: 20182019
Coordinator: Jose Manuel Corcuera Valverde
Department: Department of Mathematics and Computer Science
Credits: 6
Single program: S
Estimated learning time 
Total number of hours 150 
Facetoface learning activities 
60 
 Lecture 
30 

 Problemsolving class 
30 
Independent learning 
90 
Recommendations 

Learning objectives 
Referring to knowledge

Teaching blocks 
1. Financial derivatives: Discrete time models
1.1. Investment strategies; Admissible strategies and arbitrage; Martingales and opportunities of arbitrage; First fundamental theorem
1.2. Complete markets and option pricing; Second fundamental theorem
1.3. The CoxRossRubinstein model
1.4. American options; The optimal stopping problem; Application to American options
2. Financial derivatives: Continuoustime models
2.1. The BlackScholes model; Pricing and hedging
2.2. Multidimensional BlackScholes model with continuous dividends
2.3. Currency options
2.4. Stochastic volatility
3. Interest rates models
3.1. Interest rates; Bonds with coupons, swaps, caps and floors
3.2. A general framework for short rates; Options on bonds; Short rate models; Affine models
3.3. Forward rate models; The HeathJarrowMorton condition
3.4. Change of numéraire; The forward measure
3.5. Market models
3.6. Forwards and Futures
4. Credit risk models
4.1. Structural approach
4.2. Reduce form approaches: Hazard process approach and intensitybased approach
Official assessment of learning outcomes 
The final grade will be calculated as follows: 0,7*P+0,3*T, where
Examinationbased assessment The single assessment consists of a final examination with theoretical questions (30%) and problems (70%) 
Reading and study resources 
Consulteu la disponibilitat a CERCABIB
Book
Back, K. A Course in derivative securities. Berlin : Springer, 2005.
Björk, T. Arbitrage theory in continuous time. Oxford : Oxford University Press, 2009.
Dana, R.A. ; Jeanblanc, M. Financial markets in continous time. Berlin : Springer, 2003.
Elliot, R.J. ; Kopp, P.E. Mathematics of financial markets. Berlin : Springer, 2005.
Musiela, M. ; Rutkowski, M. Martingale methods in financial modelling. Berlin : Springer, 2009.
Revuz, D. ; Yor, M. Continuous martingales and brownian motion. New York : SpringerVerlag, 2005.