Yearbooks

Mathematical models of financial engineering 762


 
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
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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