MA 670
Fin& 39 l Modelling & Pricing
This course develops the mathematical framework for option pricing in continuous time for equity and interest rate derivatives. Topics include: asset pricing and interest rate processes; derivation of the Black-Scholes partial differential equation; pricing of standard European, American and multi-asset options under geometric Brownian motions; stochastic asset price models; multi-factor interest rate stochastic modelling; bond pricing and interest rate option pricing and calibration; and path dependent options. Topics may include: transformation techniques for solving parabolic PDEs; Green's functions; path integral methodologies for pricing and hedging options; Monte Carlo simulation and stochastic mesh methods for pricing complex multi-asset derivatives.
Prerequisites: MA570 and MA651 or equivalent.
This course develops the mathematical framework for option pricing in continuous time for equity and interest rate derivatives. Topics include: asset pricing and interest rate processes; derivation of the Black-Scholes partial differential equation; pricing of standard European, American and multi-asset options under geometric Brownian motions; stochastic asset price models; multi-factor interest rate stochastic modelling; bond pricing and interest rate option pricing and calibration; and path dependent options. Topics may include: transformation techniques for solving parabolic PDEs; Green's functions; path integral methodologies for pricing and hedging options; Monte Carlo simulation and stochastic mesh methods for pricing complex multi-asset derivatives.
Prerequisites: MA570 and MA651 or equivalent.
This course develops the mathematical framework for option pricing in continuous time for equity and interest rate derivatives. Topics include: asset pricing and interest rate processes; derivation of the Black-Scholes partial differential equation; pricing of standard European, American and multi-asset options under geometric Brownian motions; stochastic asset price models; multi-factor interest rate stochastic modelling; bond pricing and interest rate option pricing and calibration; and path dependent options. Topics may include: transformation techniques for solving parabolic PDEs; Green's functions; path integral methodologies for pricing and hedging options; Monte Carlo simulation and stochastic mesh methods for pricing complex multi-asset derivatives.
Prerequisites: MA570 and MA651 or equivalent.
