Academic Calendar - 2019

Western University Academic Calendar. - 2019
Western Main Campus

Financial Modelling 4521A/B

ADVANCED FINANCIAL MODELLING


Continuous-time models, Brownian motion, stochastic integrals, Ito's lemma. Black-Scholes-Merton market model, arbitrage and market completeness, Black-Scholes PDE, risk-neutral pricing and martingale measures. Greeks and hedging, extensions of Black-Scholes model, implied volatility, American option valuation. Vasicek and Cox-Ingersoll-Ross interest rate models.

Antirequisite(s): The former Financial Modelling 4521F/G.

Prerequisite(s): A minimum mark of 60% in either Financial Modelling 3520A/B, or Financial Modelling 3613A/B and a minimum mark of 60% in Statistical Sciences 2857A/B.

Extra Information: 3 lecture hours.

Course Weight: 0.50
Breadth: CATEGORY C i  
Subject Code: FINMOD

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