Mathematics of Finance

Catalog description

Fundamental topics will be covered: risk, arbitrage, mathematical models for asset price movements (based on trees, PDEs, and martingales); pricing of financial derivatives, and hedging; introduction to stochastic calculus, and to the Black-Scholes model. Open to graduate students. Undergraduate students may as a Pathway student through the dual degree BA/MA program or take it as undergraduate credit only by filling out the 'Request To Take Graduate Course for Undergraduate Credit' form available on the Registrar's Office website. Prerequisite(s): graduate standing or permission of department.