Continuous-Time Financial Modelling - FMA 677

This course discusses the continuous time modelling under deterministic interest rates Black-Scholes model and its variants, continuously rebalanced portfolio and the existence and uniqueness of a martingale probability measure. It also includes the study of volatility such as historical, implied, risk-neutral marginal distributions and local volatility models as well as call and put options, rational exercise time, early exercise premium and optimal exercise boundaries, Cross currency derivatives, and currency forward contracts and options and options on a foreign stock. Prerequisites: MAT 670, FMA 640.