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MAT 420E - Financial Mathematics

Course Objectives

1. To provide derivatives
2. To provide Stochastic models of asset prices

Course Description

ntroduction 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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