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MAT 420E - Financial Mathematics

Course Objectives

1. To provide derivatives.

2. To provide stochastic models of asset prices.

Course Description

Introduction to options and stock markets, discrete models, continuous models, stochastic processes, arbitrage pricing theory, Ito's lemma, Girsanov's theorem, Feynman-Kac theorem, portfolio theory, forward contracts, Black-Scholes analysis, hedging, fundamental solutions of Black Scholes partial differential equation, numerical methods, option portfolios, applications to European and American markets.

Course Coordinator
Ahmet Duran
Course Language
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