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.
Pre- or corequisites: ECON 435 or permission of the department.
Undergraduate course in Mathematics offered by the Department of Mathematics and Statistics in the Faculty of Science.