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

van Erp & Welborn

Prerequisite

MATH 20 or MATH 60; and COSC 1 or ENGS 20 or equivalent.

Degree Requirement Attributes

Dist:QDS

The Timetable of Class Meetings contains the most up-to-date information about a course. It includes not only the meeting time and instructor, but also its official distributive and/or world culture designation. This information supersedes any information you may see elsewhere, to include what may appear in this ORC/Catalog or on a department/program website. Note that course attributes may change term to term therefore those in effect are those (only) during the term in which you enroll in the course.

Offered

• Winter