Description
Instructor(s)/Supervisor(s)/Coordinator(s): Chi Man LEUNGForward, futures contracts and options. Static and dynamical replication. Arbitrage pricing. Binomial option model. Brownian motion and Ito's calculus. Black-Scholes-Merton model. Risk neutral pricing and martingale pricing methodology. General stochastic asset-price dynamics. Monte Carlo methods. Exotic options and American options.