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 PDF G 2013/2014
SS4521G001 Hao Yu PDF G 2012/2013
SS4521G001 Matt Davison PDF G 2011/2012

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