Mathematical Finance II

Catalog description

Diffusion Processes as models for stock price fluctuations. Contingent claims and arbitrage. Mathematical analysis of risk neutral valuation of contingent claims. Self-financing portfolios and hedging. Hedging contingent claims. Partial differential equations for valuation of derivative securities. Completeness of the markets and hedging. Parity relations and delta hedging. Several underlying assets. Credit Hour s : 3 Prerequisites: knowledge of advance probability/stochastic processes or instructor's consent Recommended: MATH 8460