everything.study
MA670

Financial Modelling and Derivative Pricing in Continuous Time

0.5 credits · Graduate

Winter 2019

Topics

  • Continuous-time derivatives pricing
  • Black–Scholes equations
  • equity and interest-rate models
  • European, American and path-dependent claims
  • possible numerical pricing methods.

Readings

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