General Information (Catalog listing)
Study of the mathematical theory and financial concepts used to model and analyze financial derivatives. Topics include martingales, Brownian motion, and stochastic differentials, with applications to discrete and continuous time stochastic models of asset prices, option pricing, the Black-Scholes pricing model, and hedging.Prerequisites:
- Linear algebra(01:640:250)
- Differential Equations (01:640:244,252, or 292)
- Probability (01:640:477, 01:960:381, or 14:332:226)
Summer 2019 Schedule
This couse is taught during the Fall semester.
Stampfli & Goodman;
The Mathematics of Finance: Modeling and Hedging;
Cengage, 2000; ISBN: 0-534-37776-9; ISBN-13: 9780534377762
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