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:
- Intro 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
{rucourse course = "01:640:485" semester = "92017"}
Schedule of Sections
01:640:485 Schedule of Sections
Previous semesters
- Fall 2008. Prof. Rodriguez
- Ran as Math 495 prior to Fall 2008