MTL732: Financial Mathematics

3 Credits (3-0-0)

Pre-requisites: MTL103/MTL508

Overlaps with: MCL363/MSL873

Financial markets, Interest computation, value, growth and discount factors, derivative products, basic option theory: single and multiperiod binomial pricing models, Cox-Ross-Rubinstein (CRR) model, volatility, Black-Scholes formula for option pricing as a limit of CRR model, Greeks and hedging, Mean-Variance portfolio theory: Markowitz model, Capital Asset Pricing Model (CAPM), factor models, interest rates and interest rate derivatives, Binomial tree models.