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Financial Mathematics I & II: Course Outline for Financial Mathematics II (MAT 644)

Mathematical finance will derive and extend the mathematical or numerical models without necessarily establishing a link to financial theory, taking observed market prices as input.

Course Contents

  • Diffusion processes,
  • Stochastic integration and Ito’s formula.
  • Arbitrage theory in continuous time.
  • Black-Schole’s equation for financial instruments.
  • Feynman-Kac’s representation formula.
  • Risk neutral valuation and hedging. 
  • Applications to financial instruments, such as options, forwards, futures, swaps, interest rate and currency derivatives

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