Second
Semester of Academic Year 2007-2008
MA 598 Mathematics of Financial Derivatives
Syllabus
Probability, random variables, probability distributions, expectations,
martingales, Brownian motion, Itô integral, Itô’s formula; Financial markets
and financial instruments, forward and futures contracts and determination of
their prices, options, mechanism of options markets, put-call parity,
European and American options, risk-neutral valuation, Cox-Ross-Rubinstein
model, Black-Scholes-Merton model; Numerical methods for European and
American options.
Texts:
- P. Wilmott, S. Howison and J. Dewynne,
The Mathematics of Financial Derivatives,
Cambridge University Press, 1995.
- S. Roman,
Introduction to the Mathematics of Finance: From Risk Management to Options Pricing,
Springer, 2004.
- J. C. Hull,
Options, Futures and Other Derivatives, 6th Edition,
Prentice Hall of India/Pearson Education, 2006.
References:
- M. Capinski and T. Zastawniak,
Mathematics for Finance: An Introduction to Financial Engineering,
Springer, 2005.
- D. Higham,
An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation,
Cambridge University Press, 2004.
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