Financial Mathematics III
0.5 Credit

Hours per week:
  • Lecture/Discussion: 3

Continuous-time financial models and riskless asset pricing. The Black-Scholes theory (including the Black-Scholes PDE). Arbitrage free pricing of European, American, and exotic options. Optional topics: stochastic volatility and jump-diffusion models; continuous-time interest rate models; pricing bonds and derivatives on interest rates.

Additional Course Information
MA370, MA451.