Continuous-Time Financial Modelling - FMA 677
This course discusses
the continuous time modelling under
deterministic interest rates Black-Scholes
model and its variants, continuously rebalanced
portfolio and the existence and uniqueness of a
martingale probability measure. It also includes
the study of volatility such as historical, implied,
risk-neutral marginal distributions and local
volatility models as well as call and put options,
rational exercise time, early exercise premium
and optimal exercise boundaries, Cross
currency derivatives, and currency forward
contracts and options and options on a foreign
stock. Prerequisites: MAT 670, FMA 640.