Mathematics of Finance
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Overview
Subject area
MTH
Catalog Number
416
Course Title
Mathematics of Finance
Department(s)
Description
Introduction to the mathematical theory of derivative pricing; binomial trees and martingales; Black-Scholes formula; stochastic differential equations and Ito calculus; Girsanov theorem.
Typically Offered
Fall, Spring
Academic Career
Undergraduate
Liberal Arts
No
Credits
Minimum Units
4
Maximum Units
4
Academic Progress Units
4
Repeat For Credit
No
Components
Name
Lecture
Hours
4
Requisites
016901