Module code | WTW 762 |
Qualification | Postgraduate |
Faculty | Faculty of Natural and Agricultural Sciences |
Module content | Exotic options, arbitrage relationships, Black-Scholes PDE and solutions, hedging and the Miller-Modigliani theory, static hedging, numerical methods, interest rate derivatives, BDT model, Vasicek and Hull-White models, complete markets, stochastic differential equations, equivalent Martingale measures. |
Module credits | 15.00 |
Programmes | |
Prerequisites | WTW 732 or WTW 364 |
Contact time | 2 lectures per week |
Language of tuition | Module is presented in English |
Academic organisation | Mathematics and Applied Maths |
Period of presentation | Semester 2 |
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