MATH 4FM3 - Financial Markets and Derivatives

3 unit(s)

Modelling of options, futures, interest rate securities and other financial derivatives in continuous time using Brownian motion and stochastic calculus. Topics include risk-neutral pricing, the Black-Scholes framework, dynamic hedging, volatility and risk. This course includes a scientific communication component.
Three lectures, one tutorial; one term
Prerequisite(s): MATH 3FM3 and registration in Level IV or V of an Honours Actuarial and Financial Mathematics program