Mathematics of Financial Derivatives II - Honors

Catalog description

(cross-leveled with MATH 7590 ). Binomial and Black-Scholes pricing models.Option Greeks, delta and gamma hedging, market maker profit theory. Asian, barrier, compound gap and exchange options. Lognormal and Monte Carlo price simulation. Geometric Brownian Motion and Ito's Lemma. Interest rate models and volatility. Credit Hour s : 3 Prerequisites: MATH 2300 and either STAT 2500 or STAT 4710 or MATH 4315 ; Honors eligibility required Recommended: MATH 4355