Alexander Melnikov
Contact
Professor, Faculty of Science - Mathematics & Statistical Sciences
- melnikov@ualberta.ca
Overview
Research
Area
Mathematical Finance
Courses
MATH 357 - 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.
MATH 520 - Mathematical Finance II
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.