Jun 14, 2024  
2013-2014 Academic Catalog 
2013-2014 Academic Catalog [Published Catalog]

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MACT 422/4313 - Mathematics of Derivatives Pricing II (3 cr.)


Continuous time model, options, options on futures, Black-Scholes formulas,  Black’s formula, greeks and their calculation, implied volatility, mathematics of delta hedging and delta-gamma hedging, exotic options, normal and lognormal distributions, Brownian motion, geometric Brownian, stock price process under the physical and risk-neutral probability measures,  stochastic differential equations, Black-Sholes equation, Ito’s lemma,  risk-neutral pricing in continuous time, continuous and discrete time interest rate models.

When Offered
Offered once a year.

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