Mathematics

MATH3903Financial Mathematics III3 ch (3C)

Calculus in stochastic environment: random functions, derivative, chain rule, integral, integration by parts, partial derivatives. Pricing forwards and options. Ito’s lemma and financial applications. Hull-White, Artzner-Heath, and Brennan-Schwartz models. Martingales, pricing methodology, and risk-neutral probability. 

Prerequisites: MATH 1503 or MATH 2213 and MATH 2913.