No-arbitrage pricing in continuous-time models. Completeness. Fundamental Theorem of Asset Pricing. Applications of martingales. Multidimensional Brownian motion in asset price models. Other asset price models. Pricing of path-dependent options. Computation methods. -- Course Website
Prerequisites: The following:<br/> Subject Study Period Commencement: Credit Points: ACTL40004 Advanced Financial Mathematics I Semester 1 12.50
