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 PDF B 2016/2017
FM3613B001 Hristo Sendov PDF B 2015/2016
FM3613A001 Hristo Sendov PDF A 2014/2015

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