| |
Jan 15, 2025
|
|
|
|
|
MACT 422 - Mathematics of Derivatives Pricing II
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.
Prerequisites
MACT 421.
When Offered
Offered once a year.
(3 cr.)
Check course scheduling information
Add to Portfolio (opens a new window)
|
|
