|
MSc in Mathematical Modelling & Scientific Computing MSc in Applied and Computational Mathematics | Special topic |
TT 2004 Dr J N Dewynne, Dr S D Howison & Dr B Hambly |
Synopsis
Builds upon the Mathematical Models in Finance course. Interest rate modelling. Real-world finance. Current theoretical and practical developments.
Reading List
P Wilmott, S D Howison and J Dewynne, Mathematics of Financial Derivatives, CUP, 1995
P Wilmott, Quantitative Finance, Wiley, 2001
T Bjork, Arbitrage Theory in Continuous Time, OUP, 1998
Fouque, Papanicolaou, Sircar, Derivatives in financial markets with stochastic volatility, CUP, 2000