Mathematical Finance I

Catalog description

Financial instruments and derivative: stocks, bonds, futures option prices on interest rates, swaps, etc. Mathematical models of stock price fluctuations. Interest rates and options on interest rates. Swaps. Open markets and properties of stock option prices. Stochastic models. Bionomial trees. Continuous time stochastic modeling. No arbitrage modeling. European and American options. BlackScholes model and differential equation, for the price of European option. Exotic options. Interest rate models. Credit Hour s : 3 Prerequisites: graduate standing in Mathematics. Knowledge of elementary probability or instructor's consent