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Module Title: 
Financial Mathematics
Module Code: 
DSA6231

Module Content

The simplex model of financial markets: One- period finite state model, Stochastic models for stock prices, Binomial option pricing model, Risk-neutral valuation, replication and pricing of contingent claims, Black-Scholes analysis, Interest rate models, Securities and their par-offs, Securities as vectors, Operations on securities, The matrix as a collection of securities, Matrix multiplication and portfolios, System of equations and Hedging, Linear independent and redundant securities

The structure of the marketed subspace

The identity matrix and arrow –debreu securities

Matrix inverse and replicating portfolios

Complete market hedging formula

Arbitrage and pricing in the one-period Model

Pricing in dynamically complete markets

Towards continuous time

Brownian motion and Ito formulae

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African Center of Excellence in Data Science(ACE-DS)

Head Office:UR College of Business & Economics

E-mail:   aceds@ur.ac.rw

Phone:(+250) 788484421