/MTH 547. Topics in Mathematical Finance

Catalog description

Mathematical methods in options pricing; options and their combinations, arbitrage and put-call parity, stock and option trees, risk neutral pricing, geometric Brownian motion for stock models and derivation of the Black-Scholes formula; and as time allows, additional topics such as futures, forwards, swaps and bond models. A course in probability, such as STA 401/STA 501 , is recommended but not required. Prerequisite: A grade of C- or better in MTH 249 , in MTH 251 , or in an equivalent course.