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Intro to financial mathematics

Recommended for the 3-5th year of Specialist’s program and the 3-4th year of Bachelor’s program.
Course Info

The main purpose of the course is to introduce the students to the basics of financial mathematics that is essential for a basic understanding of derivative pricing theory and hedging of the related risks.

The first part of the course is devoted to the discrete time models and the necessary information about random sequences.

The second part is about the Black–Scholes model and the related models, as well as the notions needed to introduce these models (Brownian motion, Itô integral, martingale methods).