Catalogue 2017 - 2018

MATH 406 Mathematical Finance

Credits

3 cr.

Prerequisite

MATH 372

Corequisite

MATH 236 is a pre- or co-requisite

Course Description

A first course in the theory and applications of financial mathematics in the context of financial risk management. Interest rate models, models for pricing European and American options including binomial and Black-Scholes, option Greeks, Itô’s lemma, simulation, and related risk management techniques.

Offered

every other spring

Fee