- Two Weeks, Period 2 (following Stochastic Calculus)
- David Colwell (School of Banking & Finance, University of New South Wales)
- Consult lecturer
- Final exam in last lecture (Friday 9 January, 4–6pm in Carslaw Room 275)
- Stochastic Calculus
- This module will consider the pricing and hedging of financial derivatives from a
mathematical viewpoint. In particular, the topics covered will include:
- Mathematical model of the underlying financial market.
- Absence of arbitrage and market completeness.
- Probabilistic approach to pricing and hedging contingent claims under the Black-Scholes
- Pricing and hedging contingent claims under stochastic volatility, and in incomplete markets
- Traditional short rate models.
- Heath, Jarrow, and Morton framework for term structure modelling.
- Term structure models with finite dimensional realisations.
- Brace, Gatarek, and Musiela model.