Continuous Time Finance

Tomas Björk Jan 7 - Jan 21, 2020, (Stockholm School of Economics)

Description

The object of this course is to provide an introduction to continuous time finance, including
arbitrage theory, stochastic optimal control theory, and dynamic equilibrium theory. The course
also contains an introduction to stochastic differential equations and Itô calculus, which are the
main mathematical tools used in this field of research.

This course is given within the Doctoral Course Program in Finance by the Swedish House of
Finance (SHoF).

Course Material

Lecture notes and the following textbook: Björk, T.: Arbitrage Theory in Continuous Time, 4th ed.

Course credit

7.5 ECTS

Registration

Please register in advance with the course secretary Jenny Wahlberg Andersson

e-mail:jenny.wahlberg.andersson@hhs.se

Syllabus

Schedule 2020

Classes will be held at the premises of SHoF, Drottninggatan 98, 111 60 Stockholm on the following days:

January 7: 10-12 & 13-15
January 8: 10-12 & 13-15
January 9: 10-12 & 13-15
January 13: 10-12 & 13-15
January 14: 10-12 & 13-15
January 15: 10-12 & 13-15
January 16: 10-12 & 13-15
January 17: 13-15
January 20: 10-12 & 13-15
January 21: 10-12 & 13-15
January 22: 10-12 & 13-15
January 23: 10-12 & 13-15

Travel Stipends

SHoF offers travel stipends to PhD students from Swedish universities. To apply, please send a brief motivation letter/mail by the supervisor and a budget to jenny.wahlberg.andersson@hhs.se.
The Nordic Finance Network (NFN) offers travel stipends to PhD students from other Nordic countries who come from one of the NFN member institutions.
Information on how to apply for NFN travel stipends is on http://nfn.aalto.fi/courses.htm.

Tomas Björk