MATH 477

Stochastic Financial Modelling

Units: 1.5

Hours: 3-0-0

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 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.

Fall 2019 Spring 2020 Summer 2020

Summer timetable available: February 15. Fall and Spring timetables available: May 15.

Before these dates the class schedule will show "No classes were found that meet your search criteria". If this message is shown after these dates, the course is not scheduled for the selected term.