Mathematics of Financial Options
Financial Modelling 3613A/B
Description: An introduction to modern financial mathematics using a differential equations approach. Stochastic differential equations and their related partial differential equations. The Fokker-Planck and Kolmogorov PDEs. No-arbitrage pricing, the Black-Scholes equation and its solutions. American options. Exotic options.
Term: A/B
Prerequisite(s): SS2503A/B Applied Mathematics 2402A or the former Differential Equations 2402A; or Statistical Sciences 2503A/B (or the former Applied Mathematics 2503A/B).
Antirequisite(s): The former Applied Mathematics 3613A/B
Extra Information: 3 lecture hours, 0.5 course.
Outlines of this course offered in past school years
| Course | Instructor(s) | Outline | Term | School Year |
| FM3613B001 | Hristo Sendov |  |
B | 2016/2017 |
| FM3613B001 | Hristo Sendov | |
B | 2015/2016 |
| FM3613A001 | Hristo Sendov | |
A | 2014/2015 |