Mathematics

MATH4903Financial Mathematics IV3 ch (3C)

Forming risk-free portfolios: the Black-Scholes partial differential equation; constant dividend case, exotic options, drift adjustment, equivalent martingale measures. Cox-Ross-Rubinstein, Merton and Vasicek’s models. Stochastic optimization: Hamilton-Jacobi-Bellman equation, application to American options. 

Prerequisites: MATH 3903 and STAT 3093.