MAFS5030 Quantitative Modeling of Derivative Securities
Course objective
This course is directed to those students who would like to acquire an introduction to the
pricing theory of financial derivatives. The course starts with the exposition of basic
der
MAFS 5030
Quantitative Modeling of Derivatives Securities
Homework One
Course Instructor: Prof. Y.K. Kwok
1. Consider a one-year forward contract whose underlying asset is a coupon paying bond
with maturity date beyond the expiration date of the forward c
MAFS 5030 Quantitative Modeling of Derivatives Securities
Topic 2 Single-period securities models
2.1 Dominant trading strategies and linear pricing measure
2.2 No-arbitrage theory and risk neutral probability measure
2.3 Valuation of contingent claims an
MAFS 5030 - Quantitative Modeling of Derivatives Securities
Topic 3 Filtrations, martingales and multi-period models
3.1 Information structures and ltrations
3.2 Notion of martingales
3.3 Discounted gain process and self-nancing strategy under multiperiod
MAFS 5030 - Quantitative Modeling of Derivatives Securities
Topic 4 Black-Scholes-Merton framework and Martingale
Pricing Theory
4.1 Review of stochastic processes and Ito calculus
4.2 Change of measure Girsanovs Theorem
4.3 Riskless hedging principle and