Mathematics of Finance

Catalog description

The course provides a foundational knowledge of the mathematics and mathematical models of finance, primarily of option pricing, hedging, and portfolio optimization. The topics include the definition of various financial securities and instruments (e.g. bonds, stocks, forward contracts, and options), the theory of interest, the No-Arbitrage Principle, measures of return and volatility, the Markowitz model of portfolio theory, the Capital Asset Pricing Model, the pricing of forward contracts, option trading strategies, the pricing of options via binomial models and the Black-Scholes model, and principles of hedging.