Math 38100: Financial Mathematics
Supervisor: Eli Amzallag
Theory of interest, review of discrete and continuous probability, arbitrage, linear programming, random walks, arbitrage bounds on option prices, option pricing with the binomial model, hedging, Black-Scholes model, partial derivatives of option pricing formulas, portfolio optimization; simulations incorporated at discretion of instructor. Prereq.: A grade of C or better in Math 37500. 4 HR./WK.; 4 CR.
Documents
- Math 381 CLO: Course Learning Outcomes for Math 381
