|Module code||WTW 762|
|Faculty||Faculty of Natural and Agricultural Sciences|
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.
|Prerequisites||WTW 732 or WTW 364|
|Contact time||2 lectures per week|
|Language of tuition||Module is presented in English|
|Department||Mathematics and Applied Mathematics|
|Period of presentation||Semester 2|
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