Jun 17, 2024  
2020-2021 Academic Catalog 
2020-2021 Academic Catalog [Published Catalog]

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

MACT 4212  and   

The course aims to introduce students to continuous-time models in financial markets. It also gives an overview of the type of mathematics and stochastic modelling that arises in the area of financial derivative pricing: binomial model, stochastic processes, portfolio replication approach and risk neutral evaluation. In this course, we explore the Black-Scholes framework and option hedging using the Greeks. We also introduce some interest rate models and price options in the bond market.

When Offered
Offered once a year.

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