Financial Mathematics II

This module is designed for honours students in the Computational Finance programme. It aims to impart to students more in-depth knowledge of derivative pricing, hedging and respective risk management considerations in equity, currency and fixed income markets. Major topics: Financial market fundamentals, volatility smile, improvement of Black-Scholes model, American and Bermudan options and their computation, exotic and path-dependent options, fixed income market and term-structure models, interest rate derivatives.

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