Please note! Course description is confirmed for two academic years, which means that in general, e.g. Learning outcomes, assessment methods and key content stays unchanged. However, via course syllabus, it is possible to specify or change the course execution in each realization of the course, such as how the contact sessions are organized, assessment methods weighted or materials used.


After the 3 cr. version of course, the student understands the purpose, basic properties, and use of derivatives, mathematical theory of options and other derivatives familiar on how models are implemented, how they are used in practice, and what are the strengths and weaknesses of different models.

Additionally, after the 5 cr. version of the course, the student knows how to apply tools from engineering mathematics and computational methods to analyse market data.

Credits: 3

Schedule: 09.09.2020 - 09.12.2020

Teacher in charge (valid 01.08.2020-31.07.2022): Ruth Kaila

Teacher in charge (applies in this implementation): Ruth Kaila, Eljas Toepfer

Contact information for the course (applies in this implementation):

CEFR level (applies in this implementation):

Language of instruction and studies (valid 01.08.2020-31.07.2022):

Teaching language: English

Languages of study attainment: English


  • Valid 01.08.2020-31.07.2022:

    Options and other derivatives: mathematical foundation of option theory, arbitrage; option pricing and hedging, different volatilities; interest rate term structure and interest rate derivatives; credit risk.

Assessment Methods and Criteria
  • Valid 01.08.2020-31.07.2022:

    Lectures, exercises, assignment, exam.

  • Valid 01.08.2020-31.07.2022:

    3 cr version: Lectures 24 h, exercises 24 h, preparation for the exercises and exam 33 h; 5 cr version: Lectures 24 h, exercises 24 h, assignment 54 h, preparation for the exercises and exam 33 h; 6 cr version: Lectures 24 h, exercises 24 h, assignment 54 h, written assignment 27 h, preparation for the exercises and exam 33 h.


Study Material
  • Valid 01.08.2020-31.07.2022:

    given during the course

Substitutes for Courses
  • Valid 01.08.2020-31.07.2022:

    Replaces course TU-22.1600

  • Valid 01.08.2020-31.07.2022:

    Mandatory: MS-A0401 Foundations of discrete mathematics, MS-A0102 Differential and integral calculus 1 (SCI), MS-A0202 Differential and integral calculus 2 (SCI), MS-A0002 Matrix algebra (SCI), TU-C1030 Managerial accounting and finance for decision-makers.

    Recommended: MS-A0502 First course in probability and statistics, Mat-2.3114 Investment Theory.

SDG: Sustainable Development Goals

    5 Gender Equality

    8 Decent Work and Economic Growth

    9 Industry, Innovation and Infrastructure