Introduction to mathematical techniques used to price and hedge derivative securities in modern finance. Topics include: modelling, analysis and computations for basic options and forwards on different class assets, general properties of options including put-call parity relationship, pricing and hedging of European and American options using the binomial model, Black-Scholes formulas for calls and puts, option Greeks, Delta-hedging, exotic options including Asian and barrier options. Three lecture hours per week plus one-hour lab per week. 05-01-2023-13-04-2023 Lecture Tuesday, Thursday 10:00AM - 11:15AM, Cass Science Hall, Room 101
- Enseignant: Yechao Meng