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 or MATH 60) and (COSC 1 or ENGS 20).

Degree Requirement Attributes

Dist:QDS

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Offered

• Winter