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ACTSC 446 Mathematics of Financial Markets

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This ACTSC 446 Mathematics of Financial Markets course covers the mathematical methods of non-arbitrage pricing and hedging of financial derivatives. The topics discussed can be divided into three main areas: derivatives markets (options; forwards and futures; other derivatives; put parity), discrete-time financial models (binomial models; general multi-period models; basic asset pricing theorems; risk-neutral probability), and financial models with continuous-time (basic stochastic calculus and Ito's lemma; Black-Scholes model; interest rate model and bond pricing)

Mathematical finance is a product of the 20th century. He was born on March 29, 1900, when Louis Bachelier's doctoral dissertation "The Theory of a Burst" was published. Now, a hundred years later, it is the foundation of a huge industry, a central element of modern global economic development, and the source of many interesting mathematical calculations. Moreover, theory and application run parallel and unusually closely. This course aims to provide an introduction to mathematics, describe how the integration of mathematical ideas, economics, and computer technology has proven so effective, and explain how this theory relates to the practice of "financial engineering".

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