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)
Textbook
Textbook: For current textbook please refer to our Master Textbook List page
Intro Math Finance (01: 640: 485, Fall 2017 )
Intro Math Finance (section 01)
Index Number: 07823
Credits: 3.00
Professor: PHAM,MINH
Schedule:
Schedule of Sections
Previous semesters