Second Semester of Academic Year 2007-2008
MA 598 Mathematics of Financial Derivatives
Syllabus

Probability, random variables, probability distributions, expectations, martingales, Brownian motion, Itô integral, Itô’s formula; Financial markets and financial instruments, forward and futures contracts and determination of their prices, options, mechanism of options markets, put-call parity, European and American options, risk-neutral valuation, Cox-Ross-Rubinstein model, Black-Scholes-Merton model; Numerical methods for European and American options.

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