Overview

This postgraduate course focuses on the continuous-time modelling of financial markets. The main goal of the course is a detailed study of the classical Black-Scholes options pricing model and extensions. The notion of a continuously rebalanced trading strategy is introduced, and the arbitrage-free and completeness properties of a financial market … For more content click the Read More button below.

Conditions for Enrolment

Prerequisite course MATH5975 or enrolment in program 5659 or 8161 or 8719 or 8750 or 8411 or 8416 or 7659

Delivery

In-person - Standard (usually weekly or fortnightly)

Fees

Pre-2019 Handbook Editions

Access past handbook editions (2018 and prior)