MATH 582
Financial Derivatives
A rigorous introduction to financial derivatives with applications. Topics include: binomial trees and geometric Brownian motion; European options, American options, forwards, and futures; put-call parity; the Black-Scholes-Merton pricing formula and its derivations; Delta and Gamma hedging; implied volatility; Merton jump-diffusion model; Heston model; GARCH(1,1) model. Prerequisites: Math 212 (or 222) and Math 230 (or 340) or consent of instructor.
Topics
- binomial trees and geometric Brownian motion
- European options
- American options
- forwards
- and futures
- put-call parity
- the Black-Scholes-Merton pricing formula and its derivations
- Delta and Gamma hedging
- implied volatility
- Merton jump-diffusion model
- Heston model
- GARCH(1,1) model
Topics explicitly listed in official catalogue description
Sources
- Course catalogue ↗2026-2027