- Lecturer: Leandro Sanchez Betancourt
Course term: Michaelmas
Course lecture information: 16 hours of lectures in MT
Course overview:
This course introduces the key models that underpin modern financial practice and theory: the Black-Scholes model and its generalisations. 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 studied.
Course synopsis:
Financial Markets, Arbitrage, and Interest Rates; Bonds and Financial Derivatives; Simple Properties of Options and the One-Period Binomial Model; Multi-Period Binomial Model; Binomial and General Discrete Time Models; Discrete Time Models and Geometric Brownian Motion; Black-Scholes model and Black-Scholes PDE; Probabilistic Approach to Pricing in the Black-Scholes Model; Other Options, Delta Hedging, and Greeks; Black-Scholes Model: Dividends and Time-Dependent Parameters; Options on Futures; American Options; Multidimensional Black-Scholes Model; Change of Numeráire, Multistage, and other Exotic Options; Barrier Options.