MATH 86 Mathematical Finance I

Financial derivatives can be thought of as insurance against uncertain future financial events. This course will take a mathematically rigorous approach to understanding the Black-Scholes-Merton model and its applications to pricing financial derivatives and risk management. Topics may include: arbitrage-free pricing, binomial tree models, Ito calculus, the Black-Scholes analysis, Monte Carlo simulation, pricing of equities options, and hedging.

Instructor

Welborn

Prerequisite

MATH 20 and MATH 40, or MATH 60; MATH 23; and COSC 1 or the equivalent.

Degree Requirement Attributes

QDS

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Offered

• Winter