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.
Mathematical finance, Cox-Ross-Rubinstein model, Black-Scholes model, stochastic calculus, pricing and hedging options.
Cox-Ross- Rubinstein model Black-Scholes model and some extensions
3 practical work sessions 1 written exam