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
Recommended Books
Other Books
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Advances in Mathematics Research
by Baswell, Albert R.
Date Published: 2009 -
Financial Mathematics (1)
by Jothi, A. Lenin
Date Published: 2009