Mathematics for Financial Derivatives (A)

3 ch (3C) · Undergraduate

Basics of options, futures, and other derivative securities. Introduction to Arbitrage. Brief introduction to partial differential equations. Stochastic calculus and Ito's Lemma. Option pricing using the Black-Scholes model. Put-call parity and Hedging. Pricing of European and American call and put options. Numerical methods for the Black-Scholes model: binary trees, moving boundary problems, and linear complementarity. The barrier, and other exotic options.