An introduction to modern financial mathematics using a differential equations approach. Stochastic differential equations and their related partial differential equations. The Fokker-Planck and Kolmogorov PDEs. No-arbitrage pricing, the Black-Scholes equation and its solutions. American options. Exotic options. Antirequisite(s): Prerequisite(s): Applied Mathematics 2402A or the former Differential Equations 2402A; or Applied Mathematics 2503A/B. Corequisite(s): Pre-or Corequisite(s): Extra Information: 3 lecture hours, 0.5 course. back to top
