MATH 357 - Introduction to Mathematical Finance II

3 units (fi 6)(SECOND, 3-0-0)

Faculty of Science

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.

No syllabi

Winter Term 2025


Section Capacity Class times Login to view Instructor(s) and Location
2025-01-06 - 2025-04-09 (MWF)
12:00 - 12:50