Oct 02, 2024  
University of Alberta Calendar 2023-2024 
    
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University of Alberta Calendar 2023-2024 [ARCHIVED CATALOG]

MATH 520 - Mathematical Finance II

Course Career Graduate
Units 3
Approved Hours 3-0-0
Fee index 6
Faculty Science
Department Mathematical & Statistical Sci
Typically Offered either term

Description
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.