Yearbooks

Mathematical models of financial engineering 762


 
Modulekode WTW 762
Kwalifikasie Postgraduate
Fakulteit Faculty of Natural and Agricultural Sciences
Module-inhoud

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.

Modulekrediete 15.00
NQF Level 08
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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