FINANCIAL MATHEMATICS III

Undergraduate

This course explores continuous-time models in financial mathematics. Topics include Brownian motion, geometric Brownian motion, quadratic variation, Riemann-Stieltjes and Ito integrals, Ito’s formula, replication and risk-neutral pricing under the Black-Scholes economy, Black-Scholes partial differential equation, delta-hedging for multi asset derivatives, and valuation of cross currency options. PREREQUISITE: AMS 4080 Three lecture hours per week