Academic Calendar - 2025
Western University Academic Calendar. - 2025
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Financial Modelling 4521A/B
ADVANCED FINANCIAL MODELLING
Course Description
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.
Pre or Corequisites
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
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:
Modules/Programs
2
Faculty of Science | Statistical and Actuarial Sciences | HONOURS SPECIALIZATION IN FINANCIAL MODELLING
Faculty of Science | Statistical and Actuarial Sciences | HONOURS SPECIALIZATION IN STATISTICS