| 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 | English |
| Academic organisation | Mathematics and Applied Maths |
| Period of presentation | Semester 2 |
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