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MAT 420E - Financial Mathematics

Course Objectives

To provide derivatives
To provide Stochastic models of asset prices

Course Description

Introduction to options and markets, Stochastic models of asset prices, ITO's lemma, Black Scholes
Model, Feynman-Kac theorem, arbitrage, hedging, fundamental
solutions of Black Scholes equation,
optimal stopping problems, applications to Asian, European and American markets, option portfolios,
stochastic interest rates models, bond pricing equation and its solutions

Course Coordinator
Ahmet Duran
Course Language
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