Mathematics of Finance

Catalog description

Introduction to the mathematics of finance. Topics: linear programming with application to pricing. Interest rates and present value. Basic probability, random walks, central limit theorem, Brownian motion, log-normal model of stock prices. Black-Scholes theory of options. Dynamic programming with application to portfolio optimization. Prerequisites: Grade C or better in either MATH-SHU 151 (Multivariable Calculus) or MATH-SHU 329 (Honors Analysis II), and grade C or better in either MATH-SHU 235 (Probability and Statistics) or MATH-SHU 238 (Honors Theory of Probability) or grade B+ or above in BUSF-SHU 101 (Statistics for Business and Economics). Fulfillment: BUSF Finance elective; BUSM Finance track; IMB Business elective; Math Additional elective; Honors Math elective.