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Bilkent University

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Undergraduate and Graduate Programs 2023-2024

MATH 473 Introduction to Financial Mathematics

Basic knowledge and techniques in financial mathematics: basic Black and Scholes model and its sophistications. Theory of discrete and continuous martingales, semimartingales. Stochastic integral, Ito formula, construction and solution of stochastic differential equations. Applications to option pricing and hedging problems for the European options. American options and the numerical problems of the solutions of second order elliptic equations. Credit units: 3 ECTS Credit units: 5, Prerequisite: MATH 250 or MATH 314.

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