MA 470
Financial Mathematics III
Continuous-time financial models and riskless asset pricing. The Black-Scholes theory (including the Black-Scholes PDE). Arbitrage free pricing of European, American, and exotic options. Optional topics: stochastic volatility and jump-diffusion models; continuous-time interest rate models; pricing bonds and derivatives on interest rates.
Prerequisites: MA370 and MA451.
Continuous-time financial models and riskless asset pricing. The Black-Scholes theory (including the Black-Scholes PDE). Arbitrage free pricing of European, American, and exotic options. Optional topics: stochastic volatility and jump-diffusion models; continuous-time interest rate models; pricing bonds and derivatives on interest rates.
Prerequisites: MA370 and MA451.
Continuous-time financial models and riskless asset pricing. The Black-Scholes theory (including the Black-Scholes PDE). Arbitrage free pricing of European, American, and exotic options. Optional topics: stochastic volatility and jump-diffusion models; continuous-time interest rate models; pricing bonds and derivatives on interest rates.
Prerequisites: MA370 and MA451.
