MTH 447/547 Topics in Mathematical Finance (3)

Mathematical methods in options pricing; options and their combinations, arbitrage and put-call parity, stock and option trees, risk neutral pricing, geometric Brownian motion for stock models and derivation of the Black-Scholes formula; and as time allows, additional topics such as futures, forwards, swaps and bond models.

Prerequisite: MTH 251 or equivalent and an introduction to statistics such as STA 301 or ISA 205.

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