IMAT021
Financial Mathematics
 
Course Description
Introduction to option pricing and the Black-Scholes model. Introduction to martingale theory and stochastic calculus, the Cox-Ross-Rubinstein model, and the martingale method in option pricing. Backward stochastic differential equations and option pricing. Consumption-investment strategies, and maximization problems of utilities in financial markets. Other updated topics in financial mathematics.

Prerequisite
IMAT014