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.
- 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