Mathematics
| MATH3903 | Financial Mathematics III | 3 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. | ||
