MA370
Financial Mathematics II
0.5 Credit
Hours per week:
- Lecture/Discussion: 3
- Tutorial/Seminar: 1.5 (biweekly)
This course introduces students to fundamental concepts of option pricing: arbitrage, martingale measure, complete and incomplete markets, fundamental theorems of asset pricing, risk- neutral pricing, and static and dynamic hedging and replication. Pricing European and American options under the binomial tree asset price model is discussed in detail. The course also covers Brownian motion, geometric Brownian motion, the Black-Scholes theory for European options and option strategies and sensitivity analysis for options. Optional topics include perpetual American options and exotic options.
