The Mathematics of Financial Options

Financial Modelling 9578A

Description: The goal of this course is to introduce people to some basic financial products, their use in hedging and financing, their properties, and valuation. Securities such as bonds, puts, calls, forwards, and futures and their arbitrage relations will be discussed. Discrete-time stochastic models for securities prices will be introduced. Pricing and hedging (replication) of securities using these discrete-time models will be investigated. Martingales, risk-neutral valuation, and pricing by no-arbitrage will be covered. Black-Scholes option pricing formula and its hedging parameters and basic discrete-time interest rate models will be covered. Note that some of these topics may be omitted and others studied, as time and interests allow.

Term: A

Extra Information: Formerly listed as Applied Mathematics 9578a.

Outlines of this course offered in past school years
Course Instructor(s) Outline Term School Year
FM9578A001 Marcos Escobar-Anel PDF A 2016/2017
FM9578A001 Mark Reesor PDF A 2015/2016
FM9578A001 Mark Reesor PDF A 2014/2015

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London, Ontario, Canada, N6A 5B7
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