MATH 477

Stochastic Financial Modelling

Units: 1.5, Hours: 3-0

Brief review of financial concepts (hedging, arbitrage, options etc.), Martingales, drift and volatility, the binomial model, Brownian motion, the Black-Scholes option pricing formula and some of its extensions.

Prerequisites: 452, and ECON 435 or permission of the department.

Undergraduate course in Mathematics offered by the Department of Mathematics and Statistics in the Faculty of Science.