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Mathematical models of financial engineering 732


 
Module code WTW 732
Qualification Postgraduate
Faculty Faculty of Natural and Agricultural Sciences
Module content

Introduction to markets and instruments. Futures and options trading strategies, exotic options, arbitrage relationships, binomial option pricing method, mean variance hedging, volatility and the Greeks, volatility smiles, Black-Scholes PDE and solutions, derivative disasters.
Module credits 15.00
Prerequisites No prerequisites.
Contact time 2 lectures per week
Language of tuition Module is presented in English
Academic organisation Mathematics and Applied Maths
Period of presentation Semester 1
The information published here is subject to change and may be amended after the publication of this information. The General Regulations (G Regulations) apply to all faculties of the University of Pretoria. It is expected of students to familiarise themselves well with these regulations as well as with the information contained in the General Rules section. Ignorance concerning these regulations and rules will not be accepted as an excuse for any transgression.

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