Academic Calendar - 2021 ARCHIVE

Western University Academic Calendar. - 2021ARCHIVE
Western Main Campus

Financial Modelling 3613A/B

MATHEMATICS OF FINANCIAL OPTIONS


An introduction to modern financial mathematics using a differential equations approach. Stochastic differential equations and their related partial differential equations. The Fokker-Planck and Kolmogorov PDEs. No-arbitrage pricing, the Black-Scholes equation and its solutions. American options. Exotic options.

Prerequisite(s): Applied Mathematics 2402A or the former Differential Equations 2402A; or Statistical Sciences 2503A/B.

Extra Information:3 lecture hours.

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

This Course is Mentioned in the Following Calendar Pages: