Mathematics
| MATH4903 | Financial Mathematics IV | 3 ch (3C) |
|---|---|---|
Forming risk-free portfolios: the Black-Scholes partial differential equation; constant dividend case, exotic options, drift adjustment, equivalent martingale measures. Cox-Ross-Rubinstein, Merton and Vasicek’s models. Stochastic optimization: Hamilton-Jacobi-Bellman equation, application to American options. | ||
