Mathematics (MATH) Courses>Stochastic Financial Modelling

MATH477 - Stochastic Financial Modelling

Description

Brief review of financial concepts (hedging, arbitrage, options etc.), Martingales, drift and volatility, the binomial model, Brownian motion, the Black-Scholes option pricing formula and some of its extensions.

Units

1.5

Hours: lecture-lab-tutorial

3-0-0

Prerequisites

  • Complete all of:
    • MATH452 - Stochastic Processes (1.5)

Pre- or corequisites

  • Complete 1 of the following
    • Completed or concurrently enrolled in all of:
      • ECON435 - Financial Economics (1.5)
    • or permission of the department.

Course offered by

Department of Mathematics and Statistics

Course schedules

Summer timetable available: February 15. Fall and Spring timetables available: May 15.

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