Objectives
This course presents in detail the classical models used in mathematical finance in discret and continuous times. It includes three sessions of numerical implementation. It is based on the Stochastics Processes course (MOD) given during the first part of the year.
Palabras clave
Mathematical finance, Cox-Ross-Rubinstein model, Black-Scholes model, stochastic calculus, pricing and hedging options.
Programme
Cox-Ross- Rubinstein model Black-Scholes model and some extensions
Assesment
3 practical work sessions 1 written exam