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Dec 17, 2024
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MACT 422/4313 - Mathematics of Derivatives Pricing II (3 cr.)
Prerequisites
MACT 406/4212 - Stochastic Processes (3 cr.) and
Description
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.
Check course scheduling information
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