Dec 14, 2025  
University of Alberta Calendar 2019-2020 
    
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University of Alberta Calendar 2019-2020 [ARCHIVED CALENDAR]

MATH 357 - Introduction to Mathematical Finance II

★ 3 (fi 6) (second term, 3-0-0) 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.