Advanced Financial Modelling
Statistical Science 4521F/G
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 A minimum mark of 60% in either Statistical Sciences 3520A/B (or the former Statistical Sciences 4520A/B) or Applied Mathematics 3613B and a minimum mark of 60% in Statistical Sciences 2857A/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 |
| SS4521G001 | Rogemar Mamon |  |
G | 2013/2014 |
| SS4521G001 | Hao Yu | |
G | 2012/2013 |
| SS4521G001 | Matt Davison | |
G | 2011/2012 |