- Lecturer: Samuel Cohen
Course Term: Michaelmas
Course Lecture Information: 16 hours of lectures in MT
Course Overview:
This course provides an introduction to the principal models that underpin modern financial practice and theory - the Black-Scholes model and generalisations of it. The course examines in detail the pricing of `vanilla' options, their uses, and their risk characteristics. Building on this, a variety of more complex derivatives are also analysed.