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:

Pre- or Co-requisites:

  • ECON 435; or
  • permission of the department.

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

Schedules:
Fall 2017 Spring 2018 Summer 2018

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