MATH 7026 - Special Topics in Mathematics

(3) Continuation of MATH 6028; lognormal model of stock prices, distribution of asset prices, risk neutral valuation, true valuation, simulated stock prices, Monte Carlo valuation, geometric Brownian motion, Sharpe ratio, Ito’s lemma, Black-Scholes equation, all-or-nothing options, measurement and behavior of volatility, bond price models, Black-Derman-Toy model