Math 38100: Discrete Models of Financial Mathematics
Supervisor: Eli Amzallag
Definitions of options and exotic options on stocks, interests rates and indices; binomial trees; volatility and methods to estimate volatility; continuous models and Black-Scholes; hedging; bond models and interest rate options; spreadsheet methods and computational methods including difference methods and Monte Carlo simulations. Prereq.: A grade of C or better in Math 20200 or MATH 21200. 3 HR./WK.; 3 CR.
This class is not being offered in Spring 2022.