This unit covers the valuation and hedging of financial derivatives and their applications to investment and finance, from a mathematical finance perspective. Topics include: the features of and uses of financial derivatives; stochastic processes, stochastic calculus and martingale methods; the PDE approach to derivative pricing; statistical theory and modelling framework for pricing and management; the Black Scholes Framework; standard financial derivatives; exotic options; applications to executive remuneration and corporate finance; interest rate derivatives; managing financial risks; measuring and managing risk and capital; numerical methods and spreadsheet implementation; and... -- Course Website
Instructor: Actuarial staff
Prerequisites: Permission of Executive Dean of Faculty
