Financial markets in continuous-time: Arbitrage, completeness, self-financing strategies. Black Scholes model. Option pricing and hedging: European, American and exotic options. Consumption-investment problem: Utility maximization, optimal portfolio and optimal consumption. Prerequisite: MATH 515. Corequisite: MATH 510 or consent of the Department.
| Section | Capacity | Class times | Login to view Instructor(s) and Location |
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LECTURE Q1
(78828) |
20 |
2025-01-06 - 2025-04-09 (MWF)
10:00 - 10:50
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