MA670A: Financial Modelling and Derivative Pricing in Continuous Time (Winter 2019)

Jan. 15, 2020
Print | PDF

Calendar Description

This course develops the mathematical framework for option pricing in continuous time for equity and interest rate derivatives. Topics include: asset pricing and interest rate processes; derivation of the Black-Scholes partial differential equation; pricing of standard European, American and multi-asset options under geometric Brownian motions; stochastic asset price models; multi-factor interest rate stochastic modelling; bond pricing and interest rate option pricing and calibration; and path dependent options. Topics may include: transformation techniques for solving parabolic PDEs; Green's functions; path integral methodologies for pricing and hedging options; Monte Carlo simulation and stochastic mesh methods for pricing complex multi-asset derivatives.

Exclusions

MA470.

Instructor

Professor G. (Joe) Campolieti (PhD)
Office: LH3073 (Lazaridis Hall)
Office Hours: Monday and Wednesday 12:30 p.m. - 1:30 p.m., other times by appointment.
E: gcampoli@wlu.ca

Lectures

Monday, Wednesday and Friday 9:30 a.m. - 10:20 a.m. in 1C17 (Arts Building)

Textbook

G. Campolieti and R.N. Makarov, Financial Mathematics: A Comprehensive Treatment, Chapman and Hall/CRC Financial Mathematics Series, CRC Press, Taylor and Francis Group, 2014.

MyLearningSpace

Materials related to this course and the full course outline will be posted on the MA670 MyLearningSpace website. You are responsible for checking here on a regular basis for important announcements.

Evaluation

A final mark out of 100 will be calculated as follows:

  • In-class quizzes (Approximately one every other week): 5%
  • Assignments (4 in total): 25%
  • Midterm Exam (Friday, March 1, 2019, 2:30 p.m. - 3:50 p.m.): 30%
  • Final Exam (comprehensive, exact date, time and location to be announced): 40%

Students must achieve a score of at least 40% of the marks available on the final examination to be eligible to pass the course. The final mark will be reported as a letter grade in accordance with the conversion table of the current undergraduate calendar.

This document is a summary of the course outline for MA670 and is provided for the convenience of students.