Financial Mathematics

Catalog description

Interest rate models, principle of no arbitrage, fundamental theorem of asset pricing, evaluation of derivatives, put-call parity, European put and call options, binomial models, Black-Scholes option-pricing model, American options, option Greeks, exotic options, lognormal distribution, diffusion process, Ito’s lemma, simulation and delta-hedging. The materials will partially cover the mathematical foundation of actuarial Exam IFM (formerly MFE). It is not a preparation for the exam. Prerequisites: C or better in both MATH 346 and MATH 447, or consent of instructor. Spring only.