Valuation of European Options

Posted August 4th, 2011 at 9:53 am.

Abstract: Hoang Ha

Mentor: Leslie Cheng

This summer, I am doing research on financial mathematics with Professor Leslie Cheng as my advisor. Financial mathematics is a field of applied math that uses mathematical techniques and models to make optimal decisions in the financial market.  Since this subject is new to me, I will first obtain the background necessary to study this subject in more depth.

I will start by reading “An Undergraduate Introduction to Financial Mathematics” by J. Robert Buchanan. This book was written so that it would be accessible to an undergraduate student with only a calculus background. The book begins with an introduction of interest, probability and statistics, and then provides more details on the basics of mathematical finance. I will also be reading selective chapters from “The Mathematics of Finance: Modeling and Hedging” by Joseph Stampfli and Victor Goodman and “Options, Futures, and Other Derivatives” by Hull (6th edition).  After completing the background reading, I will choose a specific research topic. I will possibly explore the topic the valuation of different types of options using the Black-Scholes Formula. The work begun this summer may serve as a starting point for a senior thesis in mathematics.

Filed under: 2011,Cheng, Dr. Leslie,Ha, Hoang by Michelle Han

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