Business Administration

ADM4475(MATH 4853) Mathematics of Financial Derivatives3 ch (3C)

Basics of options, futures, and other derivative securities. Introduction to arbitrage and 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. Number methods for the Black-Scholes model: binary trees, moving boundary problems, and linear complementarity. The barrier, and other exotic options.

Prerequisite: MATH 2013 and ADM 2213, STAT 2593, and CS 1003 or equivalent.