| Kode Mata Kuliah | MA5161 / 4 SKS |
|---|
| Penyelenggara | 201 - Mathematics / FMIPA |
|---|
| Kategori | Lecture |
|---|
| Bahasa Indonesia | English |
|---|
| Nama Mata Kuliah | Matematika Keuangan Lanjut | Advanced Financial Mathematics |
|---|
| Bahan Kajian | - Derivatif keuangan
- Konsep Arbitrage
- Teorema perhitungan harga opsi
- Konsep probabilitas, martingale, dan proses Wiener
- Persamaan Diferensial Stokastik
- Integral dan Lemma Ito
- Model Black Scholes
- Teorema Girsanov dan Equivalent Martingale Measure (EMM)
| - Financial Derivatives
- Arbitrage Concept
- Option Pricing Theorem
- Concepts of Probability, Martingale, and Wiener Process
- Stochastic Differential Equations
- Ito's Integral and Lemma
- Black-Scholes Model
- Girsanov's Theorem and Equivalent Martingale Measure (EMM)
|
|---|
| Capaian Pembelajaran Mata Kuliah (CPMK) | - Menguasai kajian matematika keuangan secara komprehensif mulai dari konsep arbitrage dan asset pricing hingga penerapan ilmu satatistika dan matematika untuk menyelesaikan masalah perhitungan harga derivatif keuangan
- Dapat mengidentifikasi masalah dalam pasar keuangan khususnya perhitungan harga derivatif dengan menggunakan metode diksrit dan kontinu melalui persamaan Black-Scholes
- Kemampuan bekerja dalam kelompok untuk menyelesaikan tugas terkait perhitungan harga opsi dan investasi dalam kapital market.
| - Master a comprehensive study of financial mathematics, from the concepts of arbitrage and asset pricing to the application of statistics and mathematics to solve financial derivative pricing problems.
- Be able to identify problems in financial markets, particularly in derivative pricing, using discrete and continuous methods through the Black-Scholes equation.
- Ability to work in teams to complete tasks related to option pricing and investment in capital markets.
|
|---|
| Metode Pembelajaran | Kombinasi ceramah dan diskusi, pembelajaran berbasis masalah, tugas mandiri dan kelompok, kuis bersama. | Combination of lectures and discussions, problem-based learning, independent and group assignments, quizzes. |
|---|
| Modalitas Pembelajaran | Sinkronous dan asinkronous melalui LMS | Synchronous and asynchronous through LMS |
|---|
| Jenis Nilai | ABCDE |
|---|
| Metode Penilaian | Kuis, UTS, UAS, Tugas Mandiri, Tugas Kelompok | Quizzes, Midterm Exams, Final Exams, Independent Assignments, Group Assignments |
|---|
| Catatan Tambahan | | |
|---|