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Applied Analysis: Financial Mathematics - Period 4+5
Social Sciences & Humanities Program
Amsterdam, Netherlands
Dates: late Jan 2026 - late May 2026
Applied Analysis: Financial Mathematics - Period 4+5
OVERVIEW
CEA CAPA Partner Institution: Vrije Universiteit Amsterdam
Location: Amsterdam, Netherlands
Primary Subject Area: Mathematics
Instruction in: English
Course Code: X_400076
Transcript Source: Partner Institution
Course Details: Level 400
Recommended Semester Credits: 3
Contact Hours: 84
DESCRIPTION
This course gives an introduction to financial mathematics.
The following subjects will be treated:
- introduction in the theory of options;
- the binomial method;
- introduction to partial differential equations;
- the heat equation;
- the Black-Scholes formula and applications;
- introduction to numerical methods, approximating the price of an
(American) option.
Contact hours listed under a course description may vary due to the combination of lecture-based and independent work required for each course therefore, CEA's recommended credits are based on the ECTS credits assigned by VU Amsterdam. 1 ECTS equals 28 contact hours assigned by VU Amsterdam.
The following subjects will be treated:
- introduction in the theory of options;
- the binomial method;
- introduction to partial differential equations;
- the heat equation;
- the Black-Scholes formula and applications;
- introduction to numerical methods, approximating the price of an
(American) option.
Contact hours listed under a course description may vary due to the combination of lecture-based and independent work required for each course therefore, CEA's recommended credits are based on the ECTS credits assigned by VU Amsterdam. 1 ECTS equals 28 contact hours assigned by VU Amsterdam.