Introduction to option pricing and the Black-Scholes model. Introduction to martingale theory and stochastic calculus, the Cox-Ross-Rubinstein model, and the martingale method in option pricing. Backward stochastic differential equations and option pricing. Consumption-investment strategies, and maximization problems of utilities in financial markets. Other updated topics in financial mathematics.

CILO-1: Apply option pricing theory and the Black-Scholes model to solve Option Pricing problems in continuous time. CILO-2: Apply the Cox-Ross-Rubinstein mode to solve the Option Pricing problems in discrete time. CILO-3: Apply the martingale method to solve Option Pricing problems. CILO-4: Apply backward stochastic differential equations to solve Option Pricing problems.