Module Directory

 

Module Description

 
 
Module Name
Module Code
Lecture Hrs
Practical Hrs
Credits
Mathematics of Finance
MATH6022(1)
3
0
3

Description
Forward prices, discounting, arbitrage-free pricing; binomial trees, derivatives pricing in discrete time by use of binomial lattices, geometric Brownian motion, volatility and drift, martingales and conditional expectation, hedging portfolios, replication, Black-Scholes model, put-call parity. Risk premium, risk-neutral measure. Jump-diffusion models.
Faculty Department
FACULTY OF SCIENCE Department of Mathematics
Contact Details
Administrative assistant: RAINA FERHANA HOSSENBUX
Telephone: 4037400
Email: r.hossenbux@uom.ac.mu
 

 

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