Description: Continuous-time models, Brownian motion, stochastic integrals, Ito's lemma. Black-Scholes-Merton market model, arbitrage and market completeness, Black-Scholes PDE, risk-neutral pricing and martingale measures. Greeks and hedging, extensions of Black-Scholes model, implied volatility, American option valuation. Vasicek and Cox-Ingersoll-Ross interest rate models.

Term: F/G

Prerequisite(s): SS2857A/B, SS3520A/B A minimum mark of 60% in either Financial Modelling 3520A/B (or the former Statistical Sciences 3520A/B), or Financial Modelling 3613A/B (or the former Applied Mathematics 3613A/B) and a minimum mark of 60% in Statistical Sciences 2857A/B.

Antirequisite(s): SS4521F/G The former Statistical Science 4521F/G.

Extra Information: 3 lecture hours, 0.5 course.

Course	Instructor(s)	Outline	Term	School Year
FM4521B001	Hao Yu		B	2019/2020
FM4521B001	Hao Yu		B	2018/2019
FM4521B001	Hao Yu		B	2015/2016
FM4521G001	Hao Yu		G	2014/2015