25873 Fundamentals of Derivative Security Pricing8cp
There are course requisites for this subject. See access conditions.
This subject introduces the basic concepts for the pricing of derivative securities from an intuitive perspective. Topics include; arbitrage pricing in continuous time, different interpretations of the arbitrage pricing condition, leading to the partial differential equation, martingale and integral evaluation viewpoints. Exotic options, American option and option pricing under stochastic volatility are also considered.
Detailed subject description.