This course explores continuous-time models in financial mathematics. Topics include Brownian motion, geometric Brownian motion, quadratic variation, Riemann-Stieltjes and Ito integrals, Ito's formula, replication and risk-neutral pricing under the Black-Scholes economy, Black-Scholes partial differential equation, delta-hedging for multi asset derivatives, and valuation of cross currency options. 10-01-2022-29-04-2022 Lecture Monday, Wednesday, Friday 11:30AM - 12:20PM, Cass Science Hall, Room 101
- Teacher: Alexander Alvarez