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MA470

Financial Mathematics III: Advanced Financial Modelling

0.5 credits · Undergraduate

Winter 2019 · Financial Mathematics III

Topics

  • Continuous-time asset pricing
  • Black–Scholes valuation
  • European, American and exotic claims
  • possible extensions to stochastic volatility, jumps and interest-rate derivatives.

Readings

  • Financial Mathematics: A Comprehensive Treatment — G. Campolieti and R. N. Makarov (2014).
    Listed
Sources