Module code | WTW 732 |
Qualification | Postgraduate |
Faculty | Faculty of Natural and Agricultural Sciences |
Module content | Introduction to markets and instruments. Futures and options trading strategies, exotic options, arbitrage relationships, binomial option pricing method, mean variance hedging, volatility and the Greeks, volatility smiles, Black-Scholes PDE and solutions, derivative disasters. |
Module credits | 15.00 |
NQF Level | 08 |
Programmes | |
Prerequisites | No prerequisites. |
Contact time | 2 lectures per week |
Language of tuition | Module is presented in English |
Department | Mathematics and Applied Mathematics |
Period of presentation | Semester 1 |
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