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MATH357 - Introduction to Mathematical Finance II

Forward and futures contracts: forward and futures prices, hedging with futures. Options: put-call parity, bounds on option prices, time value of options. Option pricing: European and American options in the binomial tree model, Black-Scholes formula. Financial engineering: hedging option positions, hedging business risk. Variable interest rates: maturity-independent yields, general term structure. Stochastic interest rates: arbitrage pricing of bonds, interest rate derivative securities. Prerequisite: MATH 356 or consent of the Department.

Winter Term 2018

Lecture Sections

Winter Term 2018 - LEC Q1 (88816)

MWF 12:00:00 - 12:50:00 (CAB 235)
Instructor: tchoulli@ualberta.ca - Profile

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