MATH4853Mathematics for Financial Derivatives (A)3 ch (3C)

Basics of options, futures, and other derivative securities. Introduction to Arbitrage. Brief introduction to partial differential equations. Stochastic calculus and Ito's Lemma. Option pricing using the Black-Scholes model. Put-call parity and Hedging. Pricing of European and American call and put options. Numerical methods for the Black-Scholes model: binary trees, moving boundary problems, and linear complementarity. The barrier, and other exotic options.

Prerequisites: CS 1073 or experience with a computer programming language, and either MATH 3503 and STAT 2593, or MATH 2013, 2213, and STAT 3083.