Mathematical Finance. 3 credits, 3 contact hours

Catalog description

Prerequisites: FIN 641 Derivatives, MATH 605 Stochastic Calculus, or permission of the instructor. This course will explore the structure, analysis, and use of financial derivative instruments deployed in investment strategies and portfolio risk management. Topics include continuous time dynamics, arbitrage pricing, martingale methods, and valuation of European, American, and path dependent derivatives.