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Jun 23, 2024
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MATH 4580X - Elements of Financial Mathematics
This course is designed for advanced undergraduate students and master’s degree students interested in applications of mathematics in finance. The course introduces basic ideas and methods of stochastic calculus and applications of these methods to financial models, particularly to the pricing and hedging of derivative securities in continuous time models. The course will cover the following topics: introduction to financial derivatives, concepts of arbitrage and risk-neutral pricing, probability distribution, expectation, conditional expectation, Brownian motion Ito’s integral, Ito’s formula and its applications to financial modeling, and also the Black-Scholes option pricing model
Credit Hours: 3
Repeat/Retake Information: May be retaken two times excluding withdrawals, but only last course taken counts.
Lecture/Lab Hours: lecture
Grades: Eligible Grades: A-F,WP,WF,WN,FN,AU,I
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